RCSARDL: Stata module to provide Robust Cross-Sectionally Augmented ARDL adjustment estimator

Zehra Yalnız ()
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Zehra Yalnız: Kocaeli University

Statistical Software Components from Boston College Department of Economics

Abstract: rcsardl implements the point-estimation algorithm of the RCS-ARDL approach described by Zehra Yalnız (2026). The command first estimates a conventional CS-ARDL model using xtdcce2. The conventional CS-ARDL long-run coefficient vector is retained unchanged. Robustification is applied only to the equilibrium-adjustment component. Conditional on the conventional CS-ARDL long-run coefficients, the command constructs the lagged equilibrium error and estimates a robust error-correction regression separately for each panel unit using Stata's rreg. The robust stage includes cross-sectional medians of the dependent-variable change, explanatory-variable changes, and lagged equilibrium error.

Language: Stata
Requires: Stata version 19
Keywords: ARDL; cross-section; robust (search for similar items in EconPapers)
Date: 2026-09-27
Note: This module should be installed from within Stata by typing "ssc install rcsardl". The module is made available under terms of the MIT license (https://opensource.org/licenses/MIT).
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http://fmwww.bc.edu/repec/bocode/r/rcsardl.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/r/rcsardl.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/r/rcsardl_example.do program code (text/plain)
http://fmwww.bc.edu/repec/bocode/r/rcsardl_oecd_validation.do program code (text/plain)

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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s459908

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