compute_ecm

Computes Error Correction Model parameters.

internal

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.

Muhammad Alkhalaf

qardlr

Quantile Autoregressive Distributed Lag Model

Merwan Roudane

Jin Seo Cho

Tae-Hwan Kim

Yongcheol Shin

compute_ecm function

<dl><dt>est</dt>
<dd>QARDL estimation results.</dd>
<dt>y</dt>
<dd>Dependent variable vector.</dd>
<dt>X</dt>
<dd>Covariate matrix.</dd>
<dt>p</dt>
<dd>AR lag order.</dd>
<dt>q</dt>
<dd>Distributed lag order.</dd>
<dt>tau</dt>
<dd>Vector of quantiles.</dd>
<dt>constant</dt>
<dd>Logical for intercept.</dd></dl>

Arguments

Compute ECM Parameterization — compute_ecm

<dl>

<dt>est</dt>
<dd>QARDL estimation results.</dd>


<dt>y</dt>
<dd>Dependent variable vector.</dd>


<dt>X</dt>
<dd>Covariate matrix.</dd>


<dt>p</dt>
<dd>AR lag order.</dd>


<dt>q</dt>
<dd>Distributed lag order.</dd>


<dt>tau</dt>
<dd>Vector of quantiles.</dd>


<dt>constant</dt>
<dd>Logical for intercept.</dd>

</dl>

compute_ecm: Compute ECM Parameterization

Description

Usage

Value

Arguments