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xtpqardl  

Panel Quantile Autoregressive Distributed Lag Model
View on CRAN: Click here


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

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

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



Attach the package and use:
library("xtpqardl")
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:
Estimation of Panel Quantile Autoregressive Distributed Lag (PQARDL) models that combine panel ARDL methodology with quantile regression. Supports Pooled Mean Group (PMG), Mean Group (MG), and Dynamic Fixed Effects (DFE) estimators across multiple quantiles. Computes long-run cointegrating parameters, error correction term speed of adjustment, half-life of adjustment, and performs Wald tests for parameter equality across quantiles. Based on the econometric frameworks of Pesaran, Shin, and Smith (1999) <doi:10.1080/01621459.1999.10474156>, Cho, Kim, and Shin (2015) <doi:10.1016/j.jeconom.2015.02.030>, and Bildirici and Kayikci (2022) <doi:10.1016/j.energy.2022.124303>.
How to cite:
Muhammad Alkhalaf (2026). xtpqardl: Panel Quantile Autoregressive Distributed Lag Model. R package version 1.0.1, https://cran.r-project.org/web/packages/xtpqardl. Accessed 09 Jun. 2026.
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