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RCSARDL: Stata module to provide Robust Cross-Sectionally Augmented ARDL adjustment estimator

Author

Listed:
  • Zehra Yalnız

    (Kocaeli University)

Programming Language

Abstract

rcsardl implements the point-estimation algorithm of the RCS-ARDL approach described by Zehra Yalnız (2026). The command first estimates a conventional CS-ARDL model using xtdcce2. The conventional CS-ARDL long-run coefficient vector is retained unchanged. Robustification is applied only to the equilibrium-adjustment component. Conditional on the conventional CS-ARDL long-run coefficients, the command constructs the lagged equilibrium error and estimates a robust error-correction regression separately for each panel unit using Stata's rreg. The robust stage includes cross-sectional medians of the dependent-variable change, explanatory-variable changes, and lagged equilibrium error.

Suggested Citation

  • Zehra Yalnız, 2026. "RCSARDL: Stata module to provide Robust Cross-Sectionally Augmented ARDL adjustment estimator," Statistical Software Components S459908, Boston College Department of Economics, revised 28 Sep 2026.
    • Handle: RePEc:boc:bocode:s459908
    Note: This module should be installed from within Stata by typing "ssc install rcsardl". The module is made available under terms of the MIT license (https://opensource.org/licenses/MIT).
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    File URL: http://fmwww.bc.edu/repec/bocode/r/rcsardl.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/r/rcsardl.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/r/rcsardl_example.do
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    File URL: http://fmwww.bc.edu/repec/bocode/r/rcsardl_oecd_validation.do
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