Package: xtcspqardl 1.0.5
xtcspqardl: Cross-Sectionally Augmented Panel Quantile ARDL
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) <doi:10.1111/j.1468-0262.2006.00692.x> and Chudik and Pesaran (2015) <doi:10.1016/j.jeconom.2015.03.007>. Quantile regression for dynamic panels follows Harding, Lamarche, and Pesaran (2020) <doi:10.1002/jae.2753>. The ARDL approach to cointegration testing is based on Pesaran, Shin, and Smith (2001) <doi:10.1002/jae.616>.
Authors:
xtcspqardl_1.0.5.tar.gz
xtcspqardl_1.0.5.zip(r-4.7-any)xtcspqardl_1.0.5.zip(r-4.6-any)xtcspqardl_1.0.5.zip(r-4.5-any)
xtcspqardl_1.0.5.tgz(r-4.6-any)xtcspqardl_1.0.5.tgz(r-4.5-any)
xtcspqardl_1.0.5.tar.gz(r-4.7-any)xtcspqardl_1.0.5.tar.gz(r-4.6-any)
xtcspqardl_1.0.5.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
xtcspqardl/json (API)
| # Install 'xtcspqardl' in R: |
| install.packages('xtcspqardl', repos = c('https://muhammedalkhalaf.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/muhammedalkhalaf/xtcspqardl/issues
Last updated from:ebad877f12. Checks:9 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel | OK | 112 | ||
| source / vignettes | OK | 159 | ||
| linux-release | OK | 126 | ||
| macos-release | OK | 105 | ||
| macos-oldrel | OK | 103 | ||
| windows-devel | OK | 81 | ||
| windows-release | OK | 77 | ||
| windows-oldrel | OK | 81 | ||
| wasm-release | OK | 73 |
Exports:compute_csaxtcspqardl
Dependencies:latticeMASSMatrixMatrixModelsquantregSparseMsurvival
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Extract coefficients from xtcspqardl object | coef.xtcspqardl |
| Compute Cross-Sectional Averages | compute_csa |
| Fitted values from xtcspqardl model | fitted.xtcspqardl |
| Print method for summary.xtcspqardl | print.summary.xtcspqardl |
| Print method for xtcspqardl objects | print.xtcspqardl |
| Residuals from xtcspqardl model | residuals.xtcspqardl |
| Summary method for xtcspqardl objects | summary.xtcspqardl |
| Extract variance-covariance matrix from xtcspqardl object | vcov.xtcspqardl |
| Cross-Sectionally Augmented Panel Quantile ARDL | xtcspqardl |