Suitable package to run a non-linear ARDL model on panel data?


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 plm, pder, panelr, ardl, nardl and recently ardl.nardl but I have not been able to manipulate my code so that they work with my panel data.

  1. Does anyone know of a package in R that can be used to estimate non-linear dynamic causal effects using panel data?
  2. Does anyone have any code that I could review to practice and better understand how non-linear ARDL models with panel data work?

Many thanks

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