qardlr

MaRDI QIDQ7368930CRANFDO

Authors Muhammad Alkhalaf

Last update 1 October 2026

Copyright license GNU General Public License, version 3.0

Software version identifier PACKAGES.rds, 1.0.1, 1.1.1

Description

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.

Cites work

• Quantile cointegration in the autoregressive distributed-lag modeling framework

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