NEWS

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xtcspqardl 1.0.5 (2026-10-01)

• Removed the empty contributor list from xtcspqardl-package.Rd, which caused an HTML validation NOTE ("trimming empty
• /
  ").
  • inst/CITATION: removed the DOI 10.32614/CRAN.package.xtcspqardl, which does not resolve at doi.org; the entry keeps the CRAN URL. No changes to code.

  xtcspqardl 1.0.4

  • Bug fix: the long-run coefficients were the mean of the panel ratios beta_i / (1 - lambda_i). Following Harding, Lamarche and Pesaran (2020), they are now the plug-in ratio of the mean group estimates, theta(tau) = beta_MG(tau) / (1 - lambda_MG(tau)) (and c_MG / (-rho_MG) for CS-PQARDL), with delta-method standard errors that include the covariance between the coefficients.
  • Bug fix: the half-life was the mean of the panel half-lives; it is now ln(0.5) / ln(lambda_MG).
  • The mean group covariance of the slopes now includes the off-diagonal terms.
  • The QCCEMG short-run and long-run estimates, standard errors and half-life agree with the Stata command xtcspqardl (SSC) on the same data (long run 0.7058, s.e. 0.0600).

  xtcspqardl 1.0.3

  • Corrected the Harding, Lamarche and Pesaran reference: Journal of Applied Econometrics 35(3), 2020, doi:10.1002/jae.2753.
  • Authors@R updated; a former contributor entry was removed.

  xtcspqardl 1.0.0

  Initial Release

  • Implements Cross-Sectionally Augmented Panel Quantile ARDL (CS-PQARDL) estimation
  • QCCEMG (Quantile CCE Mean Group) estimator following Harding, Lamarche & Pesaran (2018)
  • QCCEPMG (Quantile CCE Pooled Mean Group) estimator
  • Cross-sectional dependence handling via CCE approach (Pesaran, 2006)
  • Automatic CSA lag selection following Chudik & Pesaran (2015): floor(T^{1/3})
  • Long-run coefficient estimation with delta-method standard errors
  • Speed of adjustment and half-life calculations
  • Mean group variance estimation
  • S3 methods: print, summary, coef, vcov
  • Comprehensive documentation with DOI references
  • Test suite using testthat