Dynamic Simulation and Testing for Single-Equation Cointegrating and Stationary Autoregressive Distributed Lag Models

While autoregressive distributed lag models allow for extremely flexible dynamics, interpreting the substantive significance of complex lag structures remains difficult. In this paper we discuss dynamac (dynamic autoregressive and cointegrating models), an R package designed to assist users in estimating, dynamically simulating, and plotting the results of a variety of autoregressive distributed lag models. It also contains a number of post-estimation diagnostics, including a test for cointegration for when researchers are estimating the error-correction variant of the autoregressive distributed lag model.

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