QARDL: Stata module to perform Quantile Autoregressive Distributed-Lag (QARDL) estimation

Merwan Roudane ()

Statistical Software Components from Boston College Department of Economics

Abstract: The qardl command implements the Quantile Autoregressive Distributed-Lag (QARDL) model proposed by Cho, Kim, and Shin (2015, Journal of Econometrics, 188(2), 281-300). The QARDL model extends the classical Pesaran and Shin (1998) ARDL cointegration framework to the quantile regression setting, enabling researchers to examine how long-run equilibrium relationships and short-run dynamics between I(1) variables vary across different quantiles of the conditional distribution.

Language: Stata
Requires: Stata version 14
Keywords: ARDL; quantile; autoregressive; distributed lag (search for similar items in EconPapers)
Date: 2026-02-15
Note: This module should be installed from within Stata by typing "ssc install qardl". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/q/qardl.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/q/qardl.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_qardl_ecm.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_qardl_estimate.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_qardl_icmean.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_qardl_rolling.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_qardl_simulate.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_qardl_waldtest.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/q/qardl_analysis.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/q/qardl_graph.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/q/qardl_makedata.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/t/test_qardl.do sample do-file (text/plain)

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