I wish to estimate the dynamic causal effect that a change to a central bank's interest rate has on the mortgage rates offered by commercial banks. I wish to run a non-linear ARDL model with a panel of 20 different commercial banks with monthly data over a period of 10 years.
I have come across the very useful CRAN Task View on time series but unfortunately it has not been able to completely help me. I have been playing around with the packages
nardl and recently
ardl.nardl but I have not been able to manipulate my code so that they work with my panel data.
- Does anyone know of a package in R that can be used to estimate non-linear dynamic causal effects using panel data?
- Does anyone have any code that I could review to practice and better understand how non-linear ARDL models with panel data work?