compute_longrun

Computes long-run (beta) parameters from QARDL estimates.

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_longrun function

<dl><dt>est</dt>
<dd>QARDL estimation results from <code>qardl_estimate</code>.</dd>
<dt>k</dt>
<dd>Number of covariates.</dd>
<dt>tau</dt>
<dd>Vector of quantiles.</dd></dl>

Arguments

Compute Long-Run Parameters — compute_longrun

<dl>

<dt>est</dt>
<dd>QARDL estimation results from <code>qardl_estimate</code>.</dd>


<dt>k</dt>
<dd>Number of covariates.</dd>


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

</dl>

compute_longrun: Compute Long-Run Parameters

Description

Usage

Value

Arguments