qardlr (Q7368930)
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Quantile Autoregressive Distributed Lag Model
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | qardlr |
Quantile Autoregressive Distributed Lag Model |
Statements
Implements the Quantile Autoregressive Distributed Lag (QARDL) model of Cho, Kim and Shin (2015) <doi:10.1016/j.jeconom.2015.05.003>. Estimates quantile-specific long-run (beta), short-run autoregressive (phi), and impact (gamma) parameters. Features include BIC-based automatic lag selection, Error Correction Model (ECM) parameterization, Wald tests for parameter constancy across quantiles, rolling/recursive QARDL estimation, Monte Carlo simulation, and publication-ready output tables.
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1 October 2026
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