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ardlverse

ANALYTICS
Velocity0.0

Comprehensive ARDL: Panel, Bootstrap and Fourier Methods

github.com/muhammedalkhalaf/ardlverse ↗

An outside audit against Stata found seven errors in ardlverse's panel estimator, including regressions with no intercept.

econometricspanel-dataardlr-packagenumerical-correctness
◆Current state
A small R package for autoregressive distributed lag models, with only three releases on record. The first two were administrative — a CRAN version note and a Zenodo metadata update. The third, 2.0.0, is a correction release built entirely from an external audit of panel_ardl() against Stata's xtpmg, and it is the only entry here with substantive content.
◆Where it's heading
The package's direction is now set by verification against an established reference implementation rather than by feature work. The seven fixes bring panel_ardl() into strict alignment with the original Pesaran, Shin and Smith framework, and the most serious of them is structural: internal regressions used lm.fit(), which unlike lm() does not append an intercept, so every short-run regression across the PMG, MG and DFE estimators was forced through the origin. Design matrices now carry a column of ones and DFE reconstructs the grand-mean intercept to match standard fixed-effects output.
◆Prediction
Expect the next releases to extend the same audit approach to the remaining estimators, since a package that has been validated against xtpmg on one function invites the same question about the rest.

◆Recent moves

  1. 1mo ago

    Seven panel_ardl fixes after an audit against Stata's xtpmg

    An audit contributed by Yeleazar Levchenko at the Kyiv School of Economics compared panel_ardl() against Stata's xtpmg and produced seven corrections aligning the implementation with Pesaran, Shin and Smith (1999). The intercept bug is the consequential one — lm.fit() does not append an intercept the way lm() does, so short-run regressions across all three estimators ran through the origin. Anyone who published results from this function before 2.0.0 has a reason to recompute them.

    View source ↗
  2. 5mo ago

    Zenodo metadata updated with ORCID

    Adds an ORCID to the Zenodo deposit metadata. Citation bookkeeping with no code change.

    View source ↗
  3. 5mo ago

    ardlverse v1.1.3

    A CRAN availability note carrying no description of what changed. Typical of the package's record before the 2.0.0 audit release established a substantive changelog.

    View source ↗