vcov.xtpqardl

Extract the variance-covariance matrix of the estimated parameters.

Estimation of Panel Quantile Autoregressive Distributed Lag
(PQARDL) models that combine panel ARDL methodology with quantile
regression. Supports Pooled Mean Group (PMG), Mean Group (MG), and
Dynamic Fixed Effects (DFE) estimators across multiple quantiles.
Computes long-run cointegrating parameters, error correction term speed
of adjustment, half-life of adjustment, and performs Wald tests for
parameter equality across quantiles. Based on the econometric frameworks
of Pesaran, Shin, and Smith (1999) <doi:10.1080/01621459.1999.10474156>,
Cho, Kim, and Shin (2015) <doi:10.1016/j.jeconom.2015.02.030>, and
Bildirici and Kayikci (2022) <doi:10.1016/j.energy.2022.124303>.

Muhammad Alkhalaf

xtpqardl

Panel Quantile Autoregressive Distributed Lag Model

Merwan Roudane

vcov.xtpqardl function

<dl><dt>object</dt>
<dd>An object of class <code>"xtpqardl"</code>.</dd>
<dt>type</dt>
<dd>Character string specifying which covariance matrix to extract:
<code>"beta"</code> for long-run coefficients (default), or <code>"rho"</code> for
ECT coefficients.</dd>
<dt>...</dt>
<dd>Additional arguments (currently unused).</dd></dl>

Arguments

Variance-Covariance Matrix for xtpqardl Objects — vcov.xtpqardl

<dl>

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


<dt>type</dt>
<dd>Character string specifying which covariance matrix to extract:
<code>"beta"</code> for long-run coefficients (default), or <code>"rho"</code> for
ECT coefficients.</dd>


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

</dl>

vcov.xtpqardl: Variance-Covariance Matrix for xtpqardl Objects

Description

Usage

Value

Arguments