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)