Time Series Qn is a package with applications of the Qn estimator of Rousseeuw and Croux (1993) <doi:10.1080/01621459.1993.10476408> to univariate and multivariate Time Series in time and frequency domains. More specifically, the robust estimation of autocorrelation or autocovariance matrix functions from Ma and Genton (2000, 2001) <doi:10.1111/1467-9892.00203>, <doi:10.1006/jmva.2000.1942> and Cotta (2017) <doi:10.13140/RG.2.2.14092.10883> are provided. The robust pseudo-periodogram of Molinares et. al. (2009) <doi:10.1016/j.jspi.2008.12.014> is also given. This packages also provides the M-estimator of the long-memory parameter d based on the robustification of the GPH estimator proposed by Reisen et al. (2017) <doi:10.1016/j.jspi.2017.02.008>.

Implements a sequential panel estimation protocol for regional
    economic panels that combines three estimation layers in a fixed order.
    The first layer applies a two-way fixed effects baseline. The second
    layer applies the panel threshold regression method of Hansen (1999)
    <doi:10.1016/S0304-4076(99)00025-1> to identify structural breaks at an
    unknown threshold of a moderating variable, with bootstrap inference
    following Hansen (2000) <doi:10.1111/1468-0262.00124>. The third layer
    applies a spatial Durbin model with an impact decomposition following
    LeSage and Pace (2009, ISBN:978-1-4200-6424-7) to quantify direct and
    indirect spillover effects. The fourth layer applies the two-step panel
    quantile estimator of Canay (2011) <doi:10.1111/j.1368-423X.2011.00349.x>
    to document distributional heterogeneity in the outcome. The threshold
    identified in the second layer defines a subsample used as structured
    input to the fourth layer, and a consistency check evaluates whether the
    three sets of results are jointly compatible with a common underlying
    structural relationship. An illustrative panel of 33 districts of the
    state of Maharashtra, India, observed over 10 agricultural years, is
    included with the package.