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)