xtpqardl: Panel Quantile Autoregressive Distributed Lag Model
Estimation of Panel Quantile Autoregressive Distributed Lag
(PQARDL) models that combine panel ARDL methodology with quantile
regression. Supports Pooled Mean Group (PMG), Mean Group (MG), and
Dynamic Fixed Effects (DFE) estimators across multiple quantiles.
Computes long-run cointegrating parameters, error correction term speed
of adjustment, half-life of adjustment, and performs Wald tests for
parameter equality across quantiles. Based on the econometric frameworks
of Pesaran, Shin, and Smith (1999) <doi:10.1080/01621459.1999.10474156>,
Cho, Kim, and Shin (2015) <doi:10.1016/j.jeconom.2015.02.030>, and
Bildirici and Kayikci (2022) <doi:10.1016/j.energy.2022.124303>.
| Version: |
1.0.1 |
| Depends: |
R (≥ 3.5.0) |
| Imports: |
stats, quantreg |
| Suggests: |
testthat (≥ 3.0.0) |
| Published: |
2026-03-12 |
| DOI: |
10.32614/CRAN.package.xtpqardl (may not be active yet) |
| Author: |
Muhammad Alkhalaf 
[aut, cre, cph],
Merwan Roudane [ctb] (Original Stata implementation) |
| Maintainer: |
Muhammad Alkhalaf <muhammedalkhalaf at gmail.com> |
| License: |
GPL-3 |
| NeedsCompilation: |
no |
| Materials: |
README, NEWS |
| CRAN checks: |
xtpqardl results |
Documentation:
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