Cross-Sectionally Augmented Panel Quantile ARDL
Overview
Implements the Cross-Sectionally Augmented Panel Quantile Autoregressive Distributed Lag (CS-PQARDL) model and the Quantile Common Correlated Effects Mean Group (QCCEMG) estimator for panel data with cross-sectional dependence. The package handles unobserved common factors through cross-sectional averages following Pesaran (2006) doi:10.1111/j.1468-0262.2006.00692.x and Chudik and Pesaran (2015) doi:10.1016/j.jeconom.2015.03.007. Quantile regression for dynamic panels follows Harding, Lamarche, and Pesaran (2020) doi:10.1002/jae.2753. The ARDL approach to cointegration testing is based on Pesaran, Shin, and Smith (2001) doi:10.1002/jae.616.
- Removed the empty contributor list from
xtcspqardl-package.Rd, which caused an HTML validation NOTE ("trimming empty <li>/<ul>"). inst/CITATION: removed the DOI 10.32614/CRAN.package.xtcspqardl, which does not resolve at doi.org; the entry keeps the CRAN URL. No changes to code.
From NEWS.md in the release
Install
Health
- OK13 OK2026-08-04
- NOTE12 OK, 1 NOTE2026-08-01
- OK7 OK2026-03-14
Documentation
- Help pages
- 16 (7 internal)includes a package overview page
- Examples that run
- 0%1 only when donttest examples are enabled (R CMD check --as-cran)
- Exported functions with examples
- 50%
- Documented parameters
- 100%
- Return-value docs
- 100%
- Help pages citing references
- 25%
Downloads
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Dependencies
Installing xtcspqardl adds 3 packages (2 with compiled code, 1.4 MB of source tarballs). Heaviest: quantreg 903 KB, SparseM 540 KB, MatrixModels 24 KB.
Code & Tests
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- 1.0.5Latest
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- 1.0.22026-03-12
- RR 4.5.0 released · 2025-04-11
Package metadata
- First published
- 2026-03-12
- Total releases
- 2 / 1 yrs
- License
- GPL-3 OSI
- Minimum R
- ≥ 4.0.0
- Download size
- 17 KB
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citation("xtcspqardl")The package provides a citation file, so citation() returns the authors' own entry.
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