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qardlr 1.1.2

• qardl() and qardl_bic_select() stop with an error when y or X contains missing values; the message gives the number and position of the incomplete rows.
• summary.qardl() prints, under the gamma(tau) table, that the covariance of gamma(tau) has rank one (Cho, Kim and Shin, 2015, Theorem 1(ii)) and that its t statistics equal the t statistic of rho(tau) in absolute value. The documentation of qardl() states the same.

qardlr 1.1.1

• Removed an empty item from the author list of qardlr-package.Rd, which caused an HTML validation NOTE (“trimming empty
• “). No changes to code.

qardlr 1.1.0

• Standard errors and Wald tests now follow Cho, Kim and Shin (2015): the covariance of the long-run parameters is Theorem 2 (with (X’PX)^-1 and the error density estimated by a Gaussian kernel with the Bofinger bandwidth), the covariance of phi and gamma is Theorem 1 with the estimator of equation (13), and the Wald tests across quantiles use the joint covariances of Theorems 3 and 4. The previous version assumed independence across quantiles, computed the long-run standard errors by a delta method without covariance terms, and fell back to a fixed covariance of 0.01 when the quantile regression covariance failed.
• Fixed the contemporaneous coefficients with several covariates and q > 1: the coefficient of x1 at lag 1 was reported as the coefficient of x2 at lag 0.
• gamma is now the level coefficient gamma(tau) of Cho, Kim and Shin (2015), the sum of the coefficients on x_t, …, x_{t-q+1}, so that beta = gamma / (1 - sum(phi)) as printed; the coefficients on x_t are in gamma0. Constancy tests for gamma are carried out covariate by covariate because its covariance has rank one at each quantile.
• qardl_simulate(): the true long-run parameter is now gamma_true / (1 - sum(phi_true)), the value implied by the simulated process (the default beta_true of 1 was not the parameter of the DGP).
• New outputs cov_joint and fhat.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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