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)