QCOINTLIB: Stata module to provide library of quantile cointegration tests and estimators

Merwan Roudane ()

Statistical Software Components from Boston College Department of Economics

Abstract: qcointall runs the complete battery of quantile cointegration tests and estimators on a single dataset. It calls: 1. xqcoint — Xiao (2009) FM + Kuriyama (2016) CUSUM test 2. qpolycoint — Li, Zheng & Guo (2016) polynomial + Wald linearity test 3. fqardl, type(qcoint) — Furno (2020) residual-based aux-QR test 4. tuqcoint — Tu et al. (2022) NP local-constant (if zvar() given) 5. liqcoint_fc — Li et al. (2025) functional-coefficient (if zvar() given) 6. qardl — Cho, Kim & Shin (2015) QARDL SSC command (if ardlpq() given)

Language: Stata
Requires: Stata version 14
Keywords: cointegration; quantiles; test (search for similar items in EconPapers)
Date: 2026-05-27
Note: This module should be installed from within Stata by typing "ssc install qcointlib". 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/qcointall.ado
http://fmwww.bc.edu/repec/bocode/q/qpolycoint.ado
http://fmwww.bc.edu/repec/bocode/t/tuqcoint.ado
http://fmwww.bc.edu/repec/bocode/x/xqcoint.ado
http://fmwww.bc.edu/repec/bocode/x/xqcoint_const.ado
http://fmwww.bc.edu/repec/bocode/x/xqcoint_robust.ado
http://fmwww.bc.edu/repec/bocode/l/liqcoint_fc.ado
http://fmwww.bc.edu/repec/bocode/l/liqcoint_fc.sthlp
http://fmwww.bc.edu/repec/bocode/q/qcointall.sthlp
http://fmwww.bc.edu/repec/bocode/q/qcointlib.sthlp
http://fmwww.bc.edu/repec/bocode/q/qpolycoint.sthlp
http://fmwww.bc.edu/repec/bocode/t/tuqcoint.sthlp
http://fmwww.bc.edu/repec/bocode/x/xqcoint.sthlp
http://fmwww.bc.edu/repec/bocode/x/xqcoint_const.sthlp
http://fmwww.bc.edu/repec/bocode/x/xqcoint_robust.sthlp

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