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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.