muhammedalkhalaf.r-universe.dev

[muhammedalkhalaf] paneltests 1.0.5

muhammedalkhalaf@gmail.com (Muhammad Abdullah Alkhalaf) — Mon, 04 May 2026 13:00:38 GMT

Pre-testing and diagnostic tools for panel data analysis. Researchers should run these tests before any panel regression to verify modelling assumptions. The package implements: (1) the Hsiao (2014, ) homogeneity F-tests (F1/F2/F3), Swamy (1970) parameter heterogeneity test, and Pesaran (2004) cross-sectional dependence test via xtpretest(); (2) missing-data detection, mechanism testing, and imputation for unbalanced panels via xtmispanel(); (3) quantile-regression cross-sectional dependence tests (T_tau and T-tilde_tau statistics) of Demetrescu, Hosseinkouchack and Rodrigues (2023) via xtcsdq(); and (4) the panel quantile-regression slope homogeneity S-hat and D-hat statistics of Galvao, Juhl, Montes-Rojas and Olmo (2017) via xtqsh(). Together these tests address three fundamental pre-testing questions: (i) are slopes homogeneous? (ii) is there cross-sectional dependence? and (iii) is the panel balanced and is missingness ignorable?

[muhammedalkhalaf] xtbhst 1.0.1

muhammedalkhalaf@gmail.com (Muhammad Alkhalaf) — Thu, 30 Apr 2026 15:43:51 GMT

Implements the bootstrap slope heterogeneity test for panel data based on Blomquist and Westerlund (2015) . Tests the null hypothesis that slope coefficients are homogeneous across cross-sectional units. Provides both standard and adjusted Delta statistics with bootstrap p-values. Supports partialling out of control variables and cross-sectional averages for dealing with cross-sectional dependence.

[muhammedalkhalaf] xtpqardl 1.0.1

muhammedalkhalaf@gmail.com (Muhammad Alkhalaf) — Mon, 27 Apr 2026 20:57:23 GMT

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) , Cho, Kim, and Shin (2015) , and Bildirici and Kayikci (2022) .

[muhammedalkhalaf] xtfifevd 1.0.1

muhammedalkhalaf@gmail.com (Muhammad Alkhalaf) — Mon, 27 Apr 2026 20:57:21 GMT

Implements fixed effects estimators for time-invariant variables in panel data models. Provides three estimation methods: FEVD (Fixed Effects Vector Decomposition) from Plumper and Troeger (2007) , and FEF (Fixed Effects Filtered) and FEF-IV (instrumental variables variant) from Pesaran and Zhou (2018) . All methods use the correct Pesaran-Zhou variance estimators that account for generated regressor uncertainty, avoiding the size distortions documented in the literature.

[muhammedalkhalaf] xtdhcoint 1.0.1

muhammedalkhalaf@gmail.com (Muhammad Alkhalaf) — Mon, 27 Apr 2026 20:57:18 GMT

Implements the Durbin-Hausman panel cointegration tests of Westerlund (2008) . The tests are robust to cross-sectional dependence through common factor extraction using principal components. Provides both group-mean (DHg) and panel (DHp) test statistics with automatic factor number selection via information criteria.

[muhammedalkhalaf] xtcspqardl 1.0.2

muhammedalkhalaf@gmail.com (Muhammad Alkhalaf) — Mon, 27 Apr 2026 20:57:16 GMT

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) and Chudik and Pesaran (2015) . Quantile regression for dynamic panels follows Harding, Lamarche, and Pesaran (2018) . The ARDL approach to cointegration testing is based on Pesaran, Shin, and Smith (2001) .

[muhammedalkhalaf] xtbreakcoint 1.0.4

muhammedalkhalaf@gmail.com (Muhammad Alkhalaf) — Mon, 27 Apr 2026 20:57:10 GMT

Implements panel cointegration tests allowing for structural breaks and cross-section dependence following the methodology of Banerjee and Carrion-i-Silvestre (2015) . The package provides iterative factor-break estimation, individual ADF tests on defactored residuals, standardized panel test statistics, and the Bai and Ng (2004) MQ test for identifying common stochastic trends. Supports five model specifications with varying deterministic components and break structures.

[muhammedalkhalaf] unitrootests 1.1.0

muhammedalkhalaf@gmail.com (Muhammad Abdullah Alkhalaf) — Mon, 27 Apr 2026 20:57:05 GMT

A unified framework for unit root and stationarity testing including quantile ADF tests (Koenker and Xiao, 2004) , GARCH-based unit root tests with endogenous structural breaks (Narayan and Liu, 2015) , and comprehensive Dickey-Fuller, Phillips-Perron, KPSS, ERS/DF-GLS, Zivot-Andrews, and Kobayashi-McAleer tests with an Elder-Kennedy decision strategy (Elder and Kennedy, 2001) .

[muhammedalkhalaf] tptest 1.0.3

muhammedalkhalaf@gmail.com (Muhammad Alkhalaf) — Mon, 27 Apr 2026 20:56:54 GMT

Performs turning point and inflection point tests for U-shaped and inverse U-shaped relationships in regression models. Implements the Sasabuchi (1980) test as extended by Lind and Mehlum (2010) with support for quadratic, cubic, log-quadratic, and inverse functional forms. Features include delta-method standard errors, Fieller confidence intervals, Simonsohn (2018) two-lines test, and parametric bootstrap. Designed for post-estimation analysis of linear models, panel models, and quantile regression. References: Lind and Mehlum (2010) ; Sasabuchi (1980); Fieller (1954) .

[muhammedalkhalaf] SVARtca 1.0.2

muhammedalkhalaf@gmail.com (Muhammad Alkhalaf) — Mon, 27 Apr 2026 20:56:52 GMT

Implements Transmission Channel Analysis (TCA) for structural vector autoregressive (SVAR) models following the methodology of Wegner, Lieb, and Smeekes (2025) . TCA decomposes impulse response functions (IRFs) into contributions from distinct transmission channels using a systems form representation and directed acyclic graph (DAG) path analysis. Supports overlapping channels, exhaustive 3-way and 4-way decompositions via inclusion-exclusion principle. This is a parallel R implementation of the 'tca-matlab-toolbox' ().

[muhammedalkhalaf] rbfmvar 2.0.2

muhammedalkhalaf@gmail.com (Muhammad Alkhalaf) — Mon, 27 Apr 2026 20:56:49 GMT

Implements the Residual-Based Fully Modified Vector Autoregression (RBFM-VAR) estimator of Chang (2000) . The RBFM-VAR procedure extends Phillips (1995) FM-VAR to handle any unknown mixture of I(0), I(1), and I(2) components without prior knowledge of the number or location of unit roots. Provides automatic lag selection via information criteria (AIC, BIC, HQ), long-run variance estimation using Bartlett, Parzen, or Quadratic Spectral kernels with Andrews (1991) automatic bandwidth selection, Granger non-causality testing with asymptotically chi-squared Wald statistics, impulse response functions (IRF) with bootstrap confidence intervals, forecast error variance decomposition (FEVD), and out-of-sample forecasting.

[muhammedalkhalaf] qardlr 1.0.1

muhammedalkhalaf@gmail.com (Muhammad Alkhalaf) — Mon, 27 Apr 2026 20:56:46 GMT

Implements the Quantile Autoregressive Distributed Lag (QARDL) model of Cho, Kim and Shin (2015) . Estimates quantile-specific long-run (beta), short-run autoregressive (phi), and impact (gamma) parameters. Features include BIC-based automatic lag selection, Error Correction Model (ECM) parameterization, Wald tests for parameter constancy across quantiles, rolling/recursive QARDL estimation, Monte Carlo simulation, and publication-ready output tables.

[muhammedalkhalaf] qadf 1.0.0

muhammedalkhalaf@gmail.com (Muhammad Abdullah Alkhalaf) — Mon, 27 Apr 2026 20:56:44 GMT

Implements the Quantile Augmented Dickey-Fuller (QADF) unit root test following Koenker and Xiao (2004) . The test extends the standard ADF test to different quantiles of the conditional distribution, allowing for unit root behavior that varies across the distribution. Includes the QKS (Quantile Kolmogorov-Smirnov) supremum test statistic for overall unit root inference, critical values from Hansen (1995), bootstrap p-values, half-life calculations, and visualization tools. Useful for testing purchasing power parity, asymmetric adjustment, and regime-dependent persistence.

[muhammedalkhalaf] mvardlurt 1.0.2

muhammedalkhalaf@gmail.com (Muhammad Alkhalaf) — Mon, 27 Apr 2026 20:56:35 GMT

Implements the multivariate autoregressive distributed lag (ARDL) unit root test proposed by Sam, McNown, Goh, and Goh (2024) . The test augments the standard ADF regression with lagged levels of a covariate to improve power when cointegration exists. Bootstrap critical values ensure correct size regardless of nuisance parameters. Provides automatic lag selection via AIC/BIC, diagnostic tests, and comprehensive inference tables following the four-case framework.

[muhammedalkhalaf] hatemicoint 1.0.1

muhammedalkhalaf@gmail.com (Muhammad Alkhalaf) — Mon, 27 Apr 2026 20:56:30 GMT

Implements the Hatemi-J (2008) cointegration test which allows for two unknown structural breaks (regime shifts) in the cointegrating relationship. The test provides three test statistics: ADF* (Augmented Dickey-Fuller), Zt* (Phillips-Perron Z_t), and Za* (Phillips-Perron Z_alpha), along with endogenously determined break dates. Critical values are based on simulations from Hatemi-J (2008) .

[muhammedalkhalaf] fbardl 1.0.2

muhammedalkhalaf@gmail.com (Muhammad Alkhalaf) — Mon, 27 Apr 2026 20:56:25 GMT

Implements the Fourier Bootstrap Autoregressive Distributed Lag (FBARDL) bounds testing approach for cointegration analysis. Combines the Pesaran, Shin & Smith (2001) ARDL bounds testing framework with Fourier terms to capture structural breaks following Yilanci, Bozoklu & Gorus (2020) , and bootstrap critical values based on McNown, Sam & Goh (2018) and Bertelli, Vacca & Zoia (2022) . Features include automatic lag selection via AIC/BIC, optimal Fourier frequency selection by minimum SSR, long-run and short-run coefficient estimation, diagnostic tests, and dynamic multiplier analysis.

[muhammedalkhalaf] cointsmall 1.0.2

muhammedalkhalaf@gmail.com (Muhammad Alkhalaf) — Mon, 27 Apr 2026 20:56:22 GMT

Implements cointegration tests with structural breaks designed for small sample sizes, following the methodology of Trinh (2022) . Supports models with no breaks, breaks in constant only, and breaks in both constant and slope. Provides endogenous break date detection using ADF or SSR minimization criteria, with small-sample adjusted critical values via response surface methodology.

[muhammedalkhalaf] cointests 1.0.0

muhammedalkhalaf@gmail.com (Muhammad Abdullah Alkhalaf) — Mon, 27 Apr 2026 20:56:20 GMT

A unified toolkit for cointegration testing including Fourier-based cointegration tests (FADL, FEG, FEG2, Tsong) that accommodate smooth structural breaks via flexible Fourier terms, and panel CADF cointegration tests with structural breaks using the Common Correlated Effects (CCE) estimator following Banerjee, Arcabic and Lee (2017) , Tsong, Lee, Tsai and Hu (2016) , and Banerjee and Carrion-i-Silvestre (2025) .

[muhammedalkhalaf] caustests 1.1.1

muhammedalkhalaf@gmail.com (Muhammad Alkhalaf) — Mon, 27 Apr 2026 20:56:17 GMT

Comprehensive suite of Granger causality tests for time series and panel data. For time series: Toda-Yamamoto (1995) , Fourier-based tests with single frequency (Enders and Jones, 2016) and cumulative frequencies (Nazlioglu et al., 2019) , quantile causality tests (Cai et al., 2023) , and Bootstrap Fourier Granger Causality in Quantiles (Cheng et al., 2021) . For panel data: Panel Fourier Toda-Yamamoto (Yilanci and Gorus, 2020) and Panel Quantile Causality tests (Wang and Nguyen, 2022) , as well as Group-Mean and Pooled Fully Modified OLS estimators for panel cointegrating polynomial regressions (Wagner and Reichold, 2023) . All tests include bootstrap inference for robust p-values.

[muhammedalkhalaf] boundedur 1.0.1

muhammedalkhalaf@gmail.com (Muhammad Alkhalaf) — Mon, 27 Apr 2026 20:56:14 GMT

Implements unit root tests for bounded time series following Cavaliere and Xu (2014) . Standard unit root tests (ADF, Phillips-Perron) have non-standard limiting distributions when the time series is bounded. This package provides modified ADF and M-type tests (MZ-alpha, MZ-t, MSB) with p-values computed via Monte Carlo simulation of bounded Brownian motion. Supports one-sided (lower bound only) and two-sided bounds, with automatic lag selection using the MAIC criterion of Ng and Perron (2001) .

[muhammedalkhalaf] xtrec 1.0.0

muhammedalkhalaf@gmail.com (Muhammad Alkhalaf) — Wed, 18 Mar 2026 10:48:03 GMT

Implements the recursively detrended panel unit root tests proposed by Westerlund (2015) . Two variants are provided: the basic t-REC test assuming iid errors, and the robust t-RREC test that accounts for serial correlation, cross-sectional dependence, and heteroskedasticity via defactoring and BIC-selected lag augmentation. Both tests have a standard normal null distribution requiring no mean or variance correction. The panel must be strongly balanced.

[muhammedalkhalaf] fqardl 1.0.2

muhammedalkhalaf@gmail.com (Muhammad Alkhalaf) — Tue, 17 Mar 2026 19:10:14 GMT

Comprehensive implementation of advanced ARDL methodologies for cointegration analysis with structural breaks and asymmetric effects. Includes: (1) Fourier Quantile ARDL (FQARDL) - quantile regression with Fourier approximation for analyzing relationships across the conditional distribution; (2) Fourier Nonlinear ARDL (FNARDL) - asymmetric cointegration with partial sum decomposition following Shin, Yu & Greenwood-Nimmo (2014) ; (3) Multi-Threshold NARDL (MTNARDL) - multiple regime asymmetry analysis; (4) Fourier Unit Root Tests - ADF and KPSS tests with Fourier terms following Enders & Lee (2012) and Becker, Enders & Lee (2006) . Features automatic lag and frequency selection, PSS bounds testing following Pesaran, Shin & Smith (2001) , bootstrap cointegration tests, Wald tests for asymmetry, dynamic multiplier computation, and publication-ready visualizations. Ported from Stata/Python by Dr. Merwan Roudane.

[muhammedalkhalaf] ardlverse 1.1.3

muhammedalkhalaf@gmail.com (Muhammad Abdullah Alkhalaf) — Sat, 14 Mar 2026 17:00:02 GMT

A unified framework for Autoregressive Distributed Lag (ARDL) modeling and cointegration analysis. Implements Panel ARDL with Pooled Mean Group (PMG), Mean Group (MG), and Dynamic Fixed Effects (DFE) estimators following Pesaran, Shin & Smith (1999) . Provides bootstrap-based bounds testing per Pesaran, Shin & Smith (2001) . Includes Quantile Nonlinear ARDL (QNARDL) combining distributional and asymmetric effects based on Shin, Yu & Greenwood-Nimmo (2014) , and Fourier ARDL for modeling smooth structural breaks following Enders & Lee (2012) . Features include Augmented ARDL (AARDL) with deferred t and F tests, Multiple-Threshold NARDL for complex asymmetries, Rolling/Recursive ARDL for time-varying relationships, and Panel NARDL for nonlinear panel cointegration. All methods include comprehensive diagnostics, publication-ready outputs, and visualization tools.