ARDL: Replication of eViews example on bond term structure in R package

4 march 2026

In this first blog post I thought it would be relevant to publish something about Autoregressive Distributed Lag (ARDL) models and the bounds testing approach for cointegration (Pesaran, Shin & Smith, 2001). I discovered these models a few years ago, and, in particular, have become a big fan of the excellent ARDL package from Kleanthis Natsiopoulos for R. What is special about the ARDL package is replication of the original empirical application in the PSS paper, which you can read about in ARDL bounds test for cointegration: Replicating the Pesaran et al. (2001) results for the UK earnings equation using R (Natsiopoulos & Tzeremes, 2022).