I build advanced R packages for time-series and panel-data econometrics with a focus on cointegration analysis, quantile regression, unit root testing and panel methods, with every method checked against its source paper.
أعمل على تطوير حزم R متقدمة لتحليل السلاسل الزمنية والبيانات البانلية، مع التركيز على التكامل المشترك (Cointegration) والانحدار الكمّي (Quantile Regression)، واختبارات جذر الوحدة وأساليب البيانات البانلية، مع مطابقة كل طريقة بورقتها الأصلية.
ARDL family
| Package | Description | Source |
|---|---|---|
| ardlverse | Comprehensive ARDL: Panel, Bootstrap and Fourier Methods | repo |
| fqardl | Fourier ARDL Methods: Quantile, Nonlinear, Multi-Threshold & Unit Root Tests | repo |
| fbardl | Fourier Bootstrap ARDL Cointegration Test | repo |
| qardlr | Quantile Autoregressive Distributed Lag Model | repo |
| xtpqardl | Panel Quantile Autoregressive Distributed Lag Model | repo |
| xtcspqardl | Cross-Sectionally Augmented Panel Quantile ARDL | repo |
Cointegration
| Package | Description | Source |
|---|---|---|
| cointests | Comprehensive Cointegration Tests with Fourier and Panel Methods | repo |
| cointsmall | Cointegration Tests with Structural Breaks in Small Samples | repo |
| hatemicoint | Hatemi-J Cointegration Test with Two Unknown Regime Shifts | repo |
| xtdhcoint | Durbin-Hausman Panel Cointegration Tests | repo |
| xtbreakcoint | Panel Cointegration Tests with Structural Breaks | repo |
Unit root and stationarity
| Package | Description | Source |
|---|---|---|
| unitrootests | Comprehensive Unit Root and Stationarity Tests | repo |
| qadf | Quantile Autoregressive Distributed Lag Unit Root Test | repo |
| boundedur | Unit Root Tests for Bounded Time Series | repo |
| xtrec | Panel Unit Root Test Based on Recursive Detrending | repo |
| mvardlurt | Multivariate ARDL Unit Root Test | repo |
Panel data, causality and specification
| Package | Description | Source |
|---|---|---|
| caustests | Multiple Granger Causality Tests for Time Series and Panel Data | repo |
| paneltests | Panel Data Pre-Testing and Diagnostic Suite | repo |
| xtbhst | Bootstrap Slope Heterogeneity Test for Panel Data | repo |
| xtfifevd | Panel Fixed Effects Filtered and Variance Decomposition Estimation | repo |
| tptest | Universal Turning Point and Inflection Point Tests | repo |
VAR and structural VAR
| Package | Description | Source |
|---|---|---|
| rbfmvar | Residual-Based Fully Modified Vector Autoregression | repo |
| SVARtca | Transmission Channel Analysis in Structural VAR Models | repo |
All packages are archived on Zenodo and linked to my ORCID.
Superseded repositories. At the CRAN team's request several smaller packages were merged into larger ones:
aardl,fbnardl,mtnardl,pnardlandrardlinto ardlverse;fcointandxtcadfcointinto cointests. Their GitHub repositories are kept for reference only; please install the CRAN packages above.
