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qardlr  

Quantile Autoregressive Distributed Lag Model
View on CRAN: Click here


Download and install qardlr package within the R console
Install from CRAN:
install.packages("qardlr")

Install from Github:
library("remotes")
install_github("cran/qardlr")

Install by package version:
library("remotes")
install_version("qardlr", "1.0.1")



Attach the package and use:
library("qardlr")
Maintained by
Muhammad Alkhalaf
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2026-03-13
Latest Update: 2026-03-13
Description:
Implements the Quantile Autoregressive Distributed Lag (QARDL) model of Cho, Kim and Shin (2015) <doi:10.1016/j.jeconom.2015.01.003>. Estimates quantile-specific long-run (beta), short-run autoregressive (phi), and impact (gamma) parameters. Features include BIC-based automatic lag selection, Error Correction Model (ECM) parameterization, Wald tests for parameter constancy across quantiles, rolling/recursive QARDL estimation, Monte Carlo simulation, and publication-ready output tables.
How to cite:
Muhammad Alkhalaf (2026). qardlr: Quantile Autoregressive Distributed Lag Model. R package version 1.0.1, https://cran.r-project.org/web/packages/qardlr. Accessed 06 Jun. 2026.
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