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# CITATION.cff file created with {cffr} R package
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cff-version: 1.2.0
message: 'To cite package "ardldml" in publications use:'
type: software
license: MIT
title: 'ardldml: Bounds Testing for Cointegration with Many Persistent Controls'
version: 0.1.0
doi: 10.2139/ssrn.6472826
abstract: 'An implementation of the DML-Bounds procedure of Villena (2026) <https://doi.org/10.2139/ssrn.6472826>
  for testing cointegration in data-rich time-series settings. The Autoregressive
  Distributed Lag (ARDL) bounds test of Pesaran, Shin and Smith (2001) <https://doi.org/10.1002/jae.616>
  avoids pretesting the integration order of the regressors but is not designed for
  a high-dimensional conditioning set. Residualising the lagged levels against persistent
  controls can absorb stochastic trends and thereby change the finite-sample null
  distribution, so what governs the null is the effective number of stochastic trends
  surviving residualisation rather than the integration order of the original regressors.
  The procedure combines h-block cross-fitting, a balanced nuisance projection in
  the Double Machine Learning (DML) style of Chernozhukov and others (2018) <https://doi.org/10.1111/ectj.12097>,
  adaptive weighting after Zou (2006) <https://doi.org/10.1198/016214506000000735>,
  and a restricted system wild bootstrap that regenerates the dependent variable and
  the focal regressor jointly. No critical-value table is shipped: the classical bracket
  is regenerated by simulation and the operational critical value is bootstrapped.
  A trend-absorption diagnostic and a penalty-sensitivity sweep report whether a verdict
  survives a change of conditioning set. Monthly United States macroeconomic series
  from the ''FRED-MD'' database of McCracken and Ng (2016) <https://doi.org/10.1080/07350015.2015.1086655>
  are bundled so every example runs offline.'
authors:
- family-names: Roudane
  given-names: Merwan
  email: merwanroudane920@gmail.com
preferred-citation:
  type: generic
  title: Testing Cointegration with Many Persistent Controls
  authors:
  - family-names: Villena
    given-names: Marcelo J.
  year: '2026'
  notes: SSRN working paper
  doi: 10.2139/ssrn.6472826
repository: https://cran.r-universe.dev
repository-code: https://github.com/merwanroudane/ardldml
commit: 96545b448e1ff181ce549ff8220ca89e80e631fa
url: https://github.com/merwanroudane/ardldml
date-released: '2026-09-15'
contact:
- family-names: Roudane
  given-names: Merwan
  email: merwanroudane920@gmail.com
references:
- type: manual
  title: 'ardldml: Bounds Testing for Cointegration with Many Persistent Controls'
  authors:
  - family-names: Roudane
    given-names: Merwan
  year: '2026'
  notes: R package version 0.1.0
  url: https://github.com/merwanroudane/ardldml