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R

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Description

dynamac is a suite of programs in R designed to assist users in modeling and visualizing the effects of autoregressive distributed lag models, as well as testing for cointegration. The core program is dynardl, a flexible program designed to dynamically simulate and plot a variety of types of autoregressive distributed lag models, including error-correction models. In addition there are several other programs:

  • pssbounds implements the bounds cointegration test proposed by Pesaran, Shin and Smith (2001) and discussed in Philips (2018)
  • A variety of post-estimation time series plots through dynardl.simulation.plot, with many options
  • A post-estimation command for residual diagnostics: dynardl.auto.correlated
  • Helper functions for taking the first-difference, lag, and lagged first difference of a series
  • Download

    You can download dynamac in R directly from CRAN:

    								
    install.packages("dynamac")
    library(dynamac)	
    								
    							

    Alternatively, you can download from GitHub:

    				
    library(devtools)
    devtools::install_github("andyphilips/dynamac")
    library(dynamac)	
    				
    			

    Examples

    Examples of dynamac in R are available in the vignette file. You can also check out the R Journal article.

    Authors

  • Soren Jordan, Department of Political Science, Auburn University. sorenjordanpols [AT] gmail.com
  • Andrew Q. Philips, Department of Political Science, University of Colorado Boulder. andrew.philips [AT] colorado.edu