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xtcspqardl 1.0.5

• Removed the empty contributor list from xtcspqardl-package.Rd, which caused an HTML validation NOTE (“trimming empty
• /
  “).
  • inst/CITATION: removed the DOI 10.32614/CRAN.package.xtcspqardl, which does not resolve at doi.org; the entry keeps the CRAN URL. No changes to code.

  xtcspqardl 1.0.4

  • Bug fix: the long-run coefficients were the mean of the panel ratios beta_i / (1 - lambda_i). Following Harding, Lamarche and Pesaran (2020), they are now the plug-in ratio of the mean group estimates, theta(tau) = beta_MG(tau) / (1 - lambda_MG(tau)) (and c_MG / (-rho_MG) for CS-PQARDL), with delta-method standard errors that include the covariance between the coefficients.
  • Bug fix: the half-life was the mean of the panel half-lives; it is now ln(0.5) / ln(lambda_MG).
  • The mean group covariance of the slopes now includes the off-diagonal terms.
  • The QCCEMG short-run and long-run estimates, standard errors and half-life agree with the Stata command xtcspqardl (SSC) on the same data (long run 0.7058, s.e. 0.0600).

  xtcspqardl 1.0.3

  • Corrected the Harding, Lamarche and Pesaran reference: Journal of Applied Econometrics 35(3), 2020, doi:10.1002/jae.2753.
  • Authors@R updated; a former contributor entry was removed.

  xtcspqardl 1.0.0

  Initial Release

  • Implements Cross-Sectionally Augmented Panel Quantile ARDL (CS-PQARDL) estimation
  • QCCEMG (Quantile CCE Mean Group) estimator following Harding, Lamarche & Pesaran (2018)
  • QCCEPMG (Quantile CCE Pooled Mean Group) estimator
  • Cross-sectional dependence handling via CCE approach (Pesaran, 2006)
  • Automatic CSA lag selection following Chudik & Pesaran (2015): floor(T^{1/3})
  • Long-run coefficient estimation with delta-method standard errors
  • Speed of adjustment and half-life calculations
  • Mean group variance estimation
  • S3 methods: print, summary, coef, vcov
  • Comprehensive documentation with DOI references
  • Test suite using testthat

  These binaries (installable software) and packages are in development.
  They may not be fully stable and should be used with caution. We make no claims about them.