QVAR: Stata module to perform Quantile Vector Autoregression

Merwan Roudane ()
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Merwan Roudane: NA

Statistical Software Components from Boston College Department of Economics

Abstract: qvar implements Quantile Vector Autoregression models for Stata, providing a comprehensive toolkit for quantile-based multivariate time-series analysis. The package supports the complete QVAR workflow: estimation, testing, forecasting, impulse responses, evaluation, and publication-quality visualization

Language: Stata
Requires: Stata version 16
Keywords: panel data; vector autoregression; quantile estimation (search for similar items in EconPapers)
Date: 2026-05-07, Revised 2026-05-08
Note: This module should be installed from within Stata by typing "ssc install qvar". 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/qvar.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/q/qvar.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_qvar_build_lags.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_qvar_estimate.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_qvar_evaluate.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_qvar_forecast.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_qvar_granger.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_qvar_irf.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_qvar_plot.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_qvar_significance_stars.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_qvar_stationarity_check.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_qvar_table.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_qvar_utils.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_qvar_varqr.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/q/qvar_example.do sample do-file (text/plain)

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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s459698

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