f_compile_quantile {atRisk}R Documentation

Estimation of quantiles

Description

Predicted values based on each quantile regression (Koenker and Basset, 1978), at time=t_trgt, for each quantile in qt_trgt.

Usage

f_compile_quantile(qt_trgt, v_dep, v_expl, newdata = NULL)

Arguments

qt_trgt

Numeric vector, dim k, of k quantiles for different qt-estimations

v_dep

Numeric vector of the dependent variable

v_expl

Numeric vector or matrix of the (k) explanatory covariate(s)

newdata

Numeric optional vector of the (k) out of sample explanatory covariate(s)

Value

A list with the following elements:

quantile_target

Numeric vector, dim k, of k quantiles for different qt-estimations.

results_qt

Numeric matrix with all the predicted values based on each quantile regression, where each column corresponds to a quantile target. This matrix includes out-of-sample values of the dependent variable if 'newdata' is specified.

References

Koenker, Roger, and Gilbert Bassett Jr. "Regression quantiles." Econometrica: journal of the Econometric Society (1978): 33-50.

Examples

# Import data
data("data_euro")

# Data process
PIB_euro_forward_4 = data_euro["GDP"][c(5:length(data_euro["GDP"][,1])),]
FCI_euro_lag_4 = data_euro["FCI"][c(1:(length(data_euro["GDP"][,1]) - 4)),]
CISS_euro_lag_4 = data_euro["CISS"][c(1:(length(data_euro["GDP"][,1]) - 4)),]

quantile_target <- as.vector(c(0.10,0.25,0.75,0.90))
results_quantile_reg <- f_compile_quantile(qt_trgt=quantile_target,
v_dep=PIB_euro_forward_4,
v_expl=as.matrix(cbind(FCI_euro_lag_4, CISS_euro_lag_4)))


[Package atRisk version 0.2.0 Index]