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>.
| Version: | 1.0.2 |
| Depends: | R (≥ 4.0.0) |
| Imports: | quantreg (≥ 5.97), stats |
| Suggests: | testthat (≥ 3.0.0) |
| Published: | 2026-03-12 |
| DOI: | 10.32614/CRAN.package.xtcspqardl (may not be active yet) |
| Author: | Muhammad Alkhalaf 
[aut, cre, cph],
Merwan Roudane [ctb] (Original Stata implementation) |
| Maintainer: | Muhammad Alkhalaf <muhammedalkhalaf at gmail.com> |
| BugReports: | https://github.com/muhammedalkhalaf/xtcspqardl/issues |
| License: | GPL-3 |
| URL: | https://github.com/muhammedalkhalaf/xtcspqardl |
| NeedsCompilation: | no |
| Materials: | README, NEWS |
| CRAN checks: | xtcspqardl results |
Documentation:
| Reference manual: | xtcspqardl.html , xtcspqardl.pdf |
Downloads:
| Package source: | xtcspqardl_1.0.2.tar.gz |
| Windows binaries: | r-devel: not available, r-release: not available, r-oldrel: not available |
| macOS binaries: | r-release (arm64): xtcspqardl_1.0.2.tgz, r-oldrel (arm64): xtcspqardl_1.0.2.tgz, r-release (x86_64): xtcspqardl_1.0.2.tgz, r-oldrel (x86_64): xtcspqardl_1.0.2.tgz |
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