bootCT: An R Package for Bootstrap Cointegration Tests in ARDL Models

The Autoregressive Distributed Lag approach to cointegration or bound testing, proposed by Pesaran in 2001, has become prominent in empirical research. Although this approach has many advantages over the classical cointegration tests, it is not exempt from drawbacks, such as possible inconclusive inference and distortion in size. Recently, Bertelli and coauthors developed a bootstrap approach to the bound tests to overcome these drawbacks. This paper introduces the R package bootCT, which implements this method by deriving the bootstrap versions of the bound tests and of the asymptotic F-test on the independent variables proposed by Sam and coauthors in 2019. As a spinoff, a general method for generating random multivariate time series following a given VECM/ARDL structure is provided in the package. Empirical applications showcase the main functionality of the package.