qardlr: Quantile Autoregressive Distributed Lag Model
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.
| Version: | 1.0.1 |
| Depends: | R (≥ 3.5.0) |
| Imports: | quantreg (≥ 5.95), stats, MASS |
| Suggests: | testthat (≥ 3.0.0) |
| Published: | 2026-03-13 |
| DOI: | 10.32614/CRAN.package.qardlr |
| Author: | Muhammad Alkhalaf 
[aut, cre, cph],
Merwan Roudane [ctb] (Original Stata implementation),
Jin Seo Cho [ctb] (Original methodology),
Tae-Hwan Kim [ctb] (Original methodology),
Yongcheol Shin [ctb] (Original methodology) |
| Maintainer: | Muhammad Alkhalaf <muhammedalkhalaf at gmail.com> |
| BugReports: | https://github.com/muhammedalkhalaf/qardlr/issues |
| License: | GPL-3 |
| URL: | https://github.com/muhammedalkhalaf/qardlr |
| NeedsCompilation: | no |
| Materials: | README |
| CRAN checks: | qardlr results |
Documentation:
| Reference manual: | qardlr.html , qardlr.pdf |
Downloads:
| Package source: | qardlr_1.0.1.tar.gz |
| Windows binaries: | r-release: qardlr_1.0.1.zip, r-oldrel: qardlr_1.0.1.zip |
| macOS binaries: | r-release (arm64): qardlr_1.0.1.tgz, r-oldrel (arm64): qardlr_1.0.1.tgz, r-release (x86_64): qardlr_1.0.1.tgz, r-oldrel (x86_64): qardlr_1.0.1.tgz |
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