xtcspqardl 1.0.0
Initial Release
- Implements Cross-Sectionally Augmented Panel Quantile ARDL
(CS-PQARDL) estimation
- QCCEMG (Quantile CCE Mean Group) estimator following Harding,
Lamarche & Pesaran (2018)
- QCCEPMG (Quantile CCE Pooled Mean Group) estimator
- Cross-sectional dependence handling via CCE approach (Pesaran,
2006)
- Automatic CSA lag selection following Chudik & Pesaran (2015):
floor(T^{1/3})
- Long-run coefficient estimation with delta-method standard
errors
- Speed of adjustment and half-life calculations
- Mean group variance estimation
- S3 methods: print, summary, coef, vcov
- Comprehensive documentation with DOI references
- Test suite using testthat