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QNARDL: Stata module to estimate Quantile Nonlinear Autoregressive Distributed Lag model of Cho, Greenwood-Nimmo, Kim and Shin

Author

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  • Merwan Roudane

Programming Language

Abstract

qnardl estimates the {bf:Quantile Nonlinear Autoregressive Distributed Lag} model — a quantile-regression generalisation of NARDL that admits both: Sign asymmetry via the partial-sum decomposition of selected regressors into positive and negative cumulative changes (Shin, Yu & Greenwood-Nimmo 2014); and Locational (quantile) asymmetry by estimating the long-run and short-run dynamics at user-specified quantiles τ of the conditional distribution of the dependent variable (Cho, Kim & Shin 2015).

Suggested Citation

  • Merwan Roudane, 2026. "QNARDL: Stata module to estimate Quantile Nonlinear Autoregressive Distributed Lag model of Cho, Greenwood-Nimmo, Kim and Shin," Statistical Software Components S459736, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459736
    Note: This module should be installed from within Stata by typing "ssc install qnardl". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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    File URL: http://fmwww.bc.edu/repec/bocode/q/qnardl.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/q/qnardl.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/_/_qnardl_bounds.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/_/_qnardl_cusum.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/_/_qnardl_decompose.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/_/_qnardl_diagnostics.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/_/_qnardl_display.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/_/_qnardl_lagsel.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/_/_qnardl_multipliers.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/_/_qnardl_onestep.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/_/_qnardl_twostep.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/_/_qnardl_wald.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/q/qnardl_cgraph.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/q/qnardl_graph.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/q/qnardl_mgraph.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/q/qnardl_showall.ado
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