qardlr
Quantile Autoregressive Distributed Lag Model
Implements the Quantile Autoregressive Distributed Lag (QARDL) model of Cho, Kim and Shin (2015) <doi:10.1016/j.jeconom.2015.01.003>. 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.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
1.0.1 |
rolling linux/jammy R-4.5 | qardlr_1.0.1.tar.gz |
156.3 KiB |
1.0.1 |
rolling linux/noble R-4.5 | qardlr_1.0.1.tar.gz |
156.7 KiB |
1.0.1 |
rolling source/ R- | qardlr_1.0.1.tar.gz |
35.6 KiB |
1.0.1 |
latest linux/jammy R-4.5 | qardlr_1.0.1.tar.gz |
156.3 KiB |
1.0.1 |
latest linux/noble R-4.5 | qardlr_1.0.1.tar.gz |
156.7 KiB |
1.0.1 |
latest source/ R- | qardlr_1.0.1.tar.gz |
35.6 KiB |
1.0.1 |
2026-04-26 source/ R- | qardlr_1.0.1.tar.gz |
35.6 KiB |
1.0.1 |
2026-04-23 source/ R- | qardlr_1.0.1.tar.gz |
35.6 KiB |
1.0.1 |
2026-04-09 windows/windows R-4.5 | qardlr_1.0.1.zip |
160.0 KiB |