FQARDL: Stata module to perform Fourier Quantile Autoregressive Distributed Lag Model estimation

Merwan Roudane ()

Statistical Software Components from Boston College Department of Economics

Abstract: fqardl estimates a Fourier ARDL model and performs cointegration testing. It extends the standard QARDL framework by incorporating Fourier trigonometric terms to capture smooth structural breaks without requiring knowledge of the number, dates, or form of breaks.

Language: Stata
Requires: Stata version 14
Keywords: ARDL; autoregressive; distributed lag; Fourier; structural breaks (search for similar items in EconPapers)
Date: 2026-02-22
Note: This module should be installed from within Stata by typing "ssc install fqardl". 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/f/fqardl.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/f/fqardl.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_fqardl_bootstrap.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_fqardl_ecm.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_fqardl_estimate.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_fqardl_qcoint.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_fqardl_waldtest.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/f/fqardl_graph.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/f/fqardl_example.do sample do-file (text/plain)

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