xtpqardl

MaRDI QIDQ7369487CRANFDO

Authors Muhammad Alkhalaf

Last update 28 September 2026

Copyright license GNU General Public License, version 3.0

Software version identifier PACKAGES.rds, 1.0.1, 1.0.3

Description

Estimation of Panel Quantile Autoregressive Distributed Lag (PQARDL) models that combine panel ARDL methodology with quantile regression. Supports Pooled Mean Group (PMG), Mean Group (MG), and Dynamic Fixed Effects (DFE) estimators across multiple quantiles. Computes long-run cointegrating parameters, error correction term speed of adjustment, half-life of adjustment, and performs Wald tests for parameter equality across quantiles. Based on the econometric frameworks of Pesaran, Shin, and Smith (1999) <doi:10.1080/01621459.1999.10474156>, Cho, Kim, and Shin (2015) <doi:10.1016/j.jeconom.2015.05.003>, and Bildirici and Kayikci (2022).

Cites work

• Pooled Mean Group Estimation of Dynamic Heterogeneous Panels
• Quantile cointegration in the autoregressive distributed-lag modeling framework

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