This Gretl package is a collection of gretl scripts to conduct single-equation bootstrap cointegration tests based on the autoregressive distributed lag (ARDL).
The two tests are:
- BDM t-test by Banerjee, A., J. Dolado, and R. Mestre (1998), Journal of Time Series Analysis, 19(3), 267-283.
- F-test by Pesaran, M.H., Y. Shin and R.J. Smith (2001), "Bounds Testing Approaches to the Analysis of Level Relationships", Journal of Applied Econometrics, Special Issue in honour of J.D. Sargan on the Theme Studies in Empirical Macroeconometrics, D.F. Hendry and M.H. Pesaran (eds.), 16, 289-326.