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xtcspqardl: Cross-Sectionally Augmented Panel Quantile ARDL
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 (2018)
<doi:10.1016/j.jeconom.2018.07.010>. The ARDL approach to cointegration
testing is based on Pesaran, Shin, and Smith (2001)
<doi:10.1002/jae.616>.
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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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[aut, cre, cph],
Merwan Roudane [ctb] (Original Stata implementation)