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)))