wald_pairwise_tests

Internal function for pairwise parameter equality tests.

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_pairwise_tests function

<dl><dt>object</dt>
<dd>QARDL object.</dd>
<dt>type</dt>
<dd>Parameter type.</dd></dl>

Arguments

Pairwise Wald Tests — wald_pairwise_tests

<dl>

<dt>object</dt>
<dd>QARDL object.</dd>


<dt>type</dt>
<dd>Parameter type.</dd>

</dl>

wald_pairwise_tests: Pairwise Wald Tests

Description

Usage

Value

Arguments