xtpqardl 1.0.1
New Features
- Initial CRAN release
- Panel Quantile ARDL estimation with PMG, MG, and DFE estimators
- Support for multiple quantiles
- Long-run cointegrating parameters estimation
- ECT speed of adjustment computation
- Half-life of adjustment
- Wald tests for parameter equality across quantiles
- Impulse response function computation
- BIC/AIC automatic lag selection
References
- Based on Pesaran, Shin, and Smith (1999) panel ARDL methodology
- Implements quantile cointegration framework of Cho, Kim, and Shin
(2015)