xtcspqardl
Cross-Sectionally Augmented Panel Quantile ARDL
Implements the Cross-Sectionally Augmented Panel Quantile Autoregressive Distributed Lag (CS-PQARDL) model and the Quantile Common Correlated Effects Mean Group (QCCEMG) estimator for panel data with cross-sectional dependence. The package handles unobserved common factors through cross-sectional averages following Pesaran (2006) <doi:10.1111/j.1468-0262.2006.00692.x> and Chudik and Pesaran (2015) <doi:10.1016/j.jeconom.2015.03.007>. Quantile regression for dynamic panels follows Harding, Lamarche, and Pesaran (2018) <doi:10.1016/j.jeconom.2018.07.010>. The ARDL approach to cointegration testing is based on Pesaran, Shin, and Smith (2001) <doi:10.1002/jae.616>.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
1.0.2 |
rolling linux/jammy R-4.5 | xtcspqardl_1.0.2.tar.gz |
80.3 KiB |
1.0.2 |
rolling linux/noble R-4.5 | xtcspqardl_1.0.2.tar.gz |
80.4 KiB |
1.0.2 |
rolling source/ R- | xtcspqardl_1.0.2.tar.gz |
16.4 KiB |
1.0.2 |
latest linux/jammy R-4.5 | xtcspqardl_1.0.2.tar.gz |
80.3 KiB |
1.0.2 |
latest linux/noble R-4.5 | xtcspqardl_1.0.2.tar.gz |
80.4 KiB |
1.0.2 |
latest source/ R- | xtcspqardl_1.0.2.tar.gz |
16.4 KiB |
1.0.2 |
2026-04-26 source/ R- | xtcspqardl_1.0.2.tar.gz |
16.4 KiB |
1.0.2 |
2026-04-23 source/ R- | xtcspqardl_1.0.2.tar.gz |
16.4 KiB |
1.0.2 |
2026-04-09 windows/windows R-4.5 | xtcspqardl_1.0.2.zip |
83.6 KiB |