wald_constancy_test

Internal function to perform Wald test for parameter constancy.

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

wald_constancy_test function

<dl><dt>params</dt>
<dd>Parameter matrix (dim x ntau).</dd>
<dt>cov_array</dt>
<dd>Covariance array (dim x dim x ntau).</dd>
<dt>nobs</dt>
<dd>Number of observations.</dd>
<dt>param_name</dt>
<dd>Name of parameter for labeling.</dd></dl>

Arguments

Wald Constancy Test — wald_constancy_test

<dl>

<dt>params</dt>
<dd>Parameter matrix (dim x ntau).</dd>


<dt>cov_array</dt>
<dd>Covariance array (dim x dim x ntau).</dd>


<dt>nobs</dt>
<dd>Number of observations.</dd>


<dt>param_name</dt>
<dd>Name of parameter for labeling.</dd>

</dl>

wald_constancy_test: Wald Constancy Test

Description

Usage

Value

Arguments