vcov.qardl

Extract variance-covariance matrices from a QARDL 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.

Muhammad Alkhalaf

qardlr

Quantile Autoregressive Distributed Lag Model

Merwan Roudane

Jin Seo Cho

Tae-Hwan Kim

Yongcheol Shin

vcov.qardl function

<dl><dt>object</dt>
<dd>An object of class <code>"qardl"</code>.</dd>
<dt>type</dt>
<dd>Character. Which covariance to extract: <code>"beta"</code>,
<code>"phi"</code>, <code>"gamma"</code>, or <code>"all"</code>. Default is <code>"all"</code>.</dd>
<dt>...</dt>
<dd>Additional arguments (unused).</dd></dl>

Arguments

Variance-Covariance Method for QARDL — vcov.qardl

<dl>

<dt>object</dt>
<dd>An object of class <code>"qardl"</code>.</dd>


<dt>type</dt>
<dd>Character. Which covariance to extract: <code>"beta"</code>,
<code>"phi"</code>, <code>"gamma"</code>, or <code>"all"</code>. Default is <code>"all"</code>.</dd>


<dt>...</dt>
<dd>Additional arguments (unused).</dd>

</dl>

vcov.qardl: Variance-Covariance Method for QARDL

Description

Usage

Value

Arguments