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xtpqardl 1.0.3

• Bug fix: the long-run variables in lr were lagged a second time, so with lr = c("L_y", ...) the error correction term used y(t-2). They now enter exactly as supplied.
• Bug fix: model = "pmg" returned the Mean Group estimator. PMG now pools the long-run coefficients by minimum distance (inverse delta-method covariance weights) and re-estimates each panel with the pooled long run imposed; a Hausman test of long-run homogeneity (MG against PMG) is returned in hausman.
• Bug fix: model = "dfe" returned fixed placeholder variances (0.01 on the diagonal). Its standard errors now come from the Powell kernel sandwich covariance of the pooled quantile regression, transformed by the delta method.
• Bug fix: the half-life was ln(2)/|rho|; it is now the exact ln(0.5)/ln(1 + rho), defined for -1 < rho < 0.
• Cross-quantile covariance blocks that are not estimated (PMG and DFE) are now NA, so wald_test() reports them as unavailable instead of assuming independence.
• The MG and DFE point estimates agree with the Stata command xtpqardl (SSC, v1.0.4) on the same data (MG: rho = -0.5123, beta = 0.5946; DFE: rho = -0.4702, beta = 0.5642).
• Added unit tests.

xtpqardl 1.0.2

• Corrected the DOI of Cho, Kim and Shin (2015) to 10.1016/j.jeconom.2015.05.003 (all occurrences).
• Removed a DOI attached to Bildirici and Kayikci (2022) that could not be verified in CrossRef; the citation text is unchanged.
• Fixed a stray brace in xtpqardl-package.Rd; Authors@R updated.

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)

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.