XTPQARDL: Stata module to estimate Panel Quantile Autoregressive Distributed Lag (PQARDL) models

Merwan Roudane ()
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Merwan Roudane: NA

Statistical Software Components from Boston College Department of Economics

Abstract: xtpqardl estimates Panel Quantile Autoregressive Distributed Lag (PQARDL) models, combining the panel ARDL framework of Pesaran, Shin & Smith (1999) with the quantile ARDL methodology of Cho, Kim & Shin (2015) and the panel extension of Bildirici (2022). Unlike standard Panel ARDL (xtpmg), which estimates at the conditional mean, xtpqardl estimates long-run and short-run relationships at each quantile of the conditional distribution.

Language: Stata
Requires: Stata version 15.1
Keywords: ARDL; quantile; panel data (search for similar items in EconPapers)
Date: 2026-02-20
Note: This module should be installed from within Stata by typing "ssc install xtpqardl". 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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http://fmwww.bc.edu/repec/bocode/x/xtpqardl.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtpqardl_graph.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtpqardl_makedata.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtpqardl.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_xtpqardl_ecm.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_xtpqardl_estimate.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_xtpqardl_waldtest.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtpqardl_example.do sample do-file (text/plain)

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