fqardl: Fourier ARDL Methods: Quantile, Nonlinear, Multi-Threshold &
Unit Root Tests
Comprehensive implementation of advanced ARDL methodologies for
cointegration analysis with structural breaks and asymmetric effects.
Includes: (1) Fourier Quantile ARDL (FQARDL) - quantile regression with
Fourier approximation for analyzing relationships across the conditional
distribution; (2) Fourier Nonlinear ARDL (FNARDL) - asymmetric cointegration
with partial sum decomposition following Shin, Yu & Greenwood-Nimmo (2014)
<doi:10.1007/978-1-4899-8008-3_9>; (3) Multi-Threshold NARDL (MTNARDL) -
multiple regime asymmetry analysis; (4) Fourier Unit Root Tests - ADF and
KPSS tests with Fourier terms following Enders & Lee (2012)
<doi:10.1016/j.econlet.2012.05.019> and Becker, Enders & Lee (2006)
<doi:10.1111/j.1467-9892.2006.00490.x>. Features automatic lag and frequency
selection, PSS bounds testing following Pesaran, Shin & Smith (2001)
<doi:10.1002/jae.616>, bootstrap cointegration tests, Wald tests for
asymmetry, dynamic multiplier computation, and publication-ready
visualizations. Ported from Stata/Python by Dr. Merwan Roudane.
| Version: |
1.0.2 |
| Depends: |
R (≥ 3.5.0) |
| Imports: |
quantreg (≥ 5.0), ggplot2 (≥ 3.0.0), tidyr, gridExtra, stats |
| Suggests: |
testthat (≥ 3.0.0), knitr, rmarkdown, plotly, covr |
| Published: |
2026-03-17 |
| DOI: |
10.32614/CRAN.package.fqardl (may not be active yet) |
| Author: |
Muhammad Alkhalaf 
[aut, cre, cph],
Merwan Roudane [ctb] (Original Stata/Python implementation) |
| Maintainer: |
Muhammad Alkhalaf <muhammedalkhalaf at gmail.com> |
| BugReports: |
https://github.com/muhammedalkhalaf/fqardl/issues |
| License: |
GPL-3 |
| URL: |
https://github.com/muhammedalkhalaf/fqardl |
| NeedsCompilation: |
no |
| Materials: |
README, NEWS |
| CRAN checks: |
fqardl results |
Documentation:
Downloads:
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