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xtcspqardl  

Cross-Sectionally Augmented Panel Quantile ARDL
View on CRAN: Click here


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

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

Install by package version:
library("remotes")
install_version("xtcspqardl", "1.0.2")



Attach the package and use:
library("xtcspqardl")
Maintained by
Muhammad Alkhalaf
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2026-03-12
Latest Update: 2026-03-12
Description:
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>.
How to cite:
Muhammad Alkhalaf (2026). xtcspqardl: Cross-Sectionally Augmented Panel Quantile ARDL. R package version 1.0.2, https://cran.r-project.org/web/packages/xtcspqardl. Accessed 29 Jul. 2026.
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