help qcointall

Title

qcointall -- Master command: runs the complete library of quantile
cointegration tests and estimators on a single dataset, with combined verdict
table.

Syntax

qcointall depvar indepvars [if] [in],
tau(numlist)
[options]

tau(numlist) quantile levels in (0,1); required

zvar(varname) stationary covariate for tuqcoint and liqcoint_fc

porder(#) polynomial order for qpolycoint; default 3

ardlpq(p q) ARDL(p,q) orders to enable qardl (SSC) call

graph produce combined comparison graph

nocombined skip combined graph (with graph)

skipxq skip xqcoint

skippoly skip qpolycoint

skipfurno skip fqardl, type(qcoint) (Furno)

skiptu skip tuqcoint

skiplifc skip liqcoint_fc

skipqardl skip qardl

Description

qcointall runs the complete battery of quantile cointegration tests and
estimators on a single dataset. It calls:

1. xqcoint — Xiao (2009) FM + Kuriyama (2016) CUSUM test

2. qpolycoint — Li, Zheng & Guo (2016) polynomial + Wald linearity test

3. fqardl, type(qcoint) — Furno (2020) residual-based aux-QR test

4. tuqcoint — Tu et al. (2022) NP local-constant (if zvar() given)

5. liqcoint_fc — Li et al. (2025) functional-coefficient (if zvar() given)

6. qardl — Cho, Kim & Shin (2015) QARDL SSC command (if ardlpq() given)

After running, it displays a combined verdict table cross-referencing the test
statistics from xqcoint, qpolycoint, and Furno at each quantile, with significance
asterisks. The matrices from each sub-command are stored in r().

Combined verdict table interpretation

** reject H0 of NO-cointegration at 1%

* reject at 5%

. fail to reject (or test does not apply)

Note that the three columns test different nulls:

- xqcoint CUSUM: H0 = cointegration (rejection = NO cointegration)

- qpolycoint Wald: H0 = linearity (rejection = nonlinear cointegration)

- Furno aux-QR: H0 = NO-cointegration (rejection = cointegration)

Examples

. tsset t

. qcointall y x, tau(0.25 0.5 0.75) porder(3)

. qcointall y x, tau(0.1 0.5 0.9) zvar(z) porder(2) graph

. qcointall y x1 x2, tau(0.5) ardlpq(2 2)

Stored results

qcointall stores in r():

r(xq_beta) xqcoint FM coefficients (ntau × k)

r(xq_cs) xqcoint CUSUM statistics (ntau × 1)

r(poly_coef) qpolycoint coefficients

r(poly_q) qpolycoint Wald statistics

r(poly_pval) qpolycoint p-values

r(furno_res) Furno test results (α̂_2, t, cv5, cv1)

r(tu_mhat) tuqcoint fitted surface (if zvar given)

r(lfc_beta) liqcoint_fc β̂(z) curve (if zvar given)

Author

Dr Merwan Roudane

merwanroudane920@gmail.com

February 2026

Also see

xqcoint, qpolycoint, tuqcoint, liqcoint_fc,
fqardl, qardl