I'm also interested to see R-package perform panel ARDL estimations. I think GAUSS is used to do this normally (although I'm not familiar with GAUSS). It would be good to have R-package do this.
Dear Elias, many thanks. But, the file you have attached could not be opened (I repeatedly got the massage: Internet explorer was not able to open this cannot open this internet file... Please clarify if the file is the same as the Manual of plm package as available through CRAN image. In fact, I have already been using the package, but am not sure if ARDL modelling can also be carried out thro the package.
Dear Sethi, I attached the file again "plm_R.pdf." This file is a paper of the Yves Croissant and Giovanni Milo. This file is a file extension and detailing of the original package plm. In this you can find all the methods applied to data panels including the GMM method of Arellano & Bond for dynamic analysis of panel data.
Dear Elias, Sorry the same old problem of non-opening of the file occurred. Can you pl arrange to send the same at ajss_gndu at yahoo.com. Very Happy Christmas & Holidays.