Nothing
## ----setup, include = FALSE----------------------------------------------
knitr::opts_chunk$set(
collapse = TRUE,
comment = "#>"
)
## ---- fig.show='hold', fig.width = 6, fig.cap = 'Time series of one-quarter ahead Greenbook forecasts (crosses) and respective observations (solid line) of real GDP growth in the US.'----
library(PointFore)
library(ggplot2)
ggplot(GDP)+
geom_line(aes(x=date,y=observation))+
geom_point(aes(x=date,y=forecast), color = 'red', size = 2, shape=4)
## ---- fig.show='hold', fig.width = 6, fig.cap = 'Time series of difference between the two considered forecasts.'----
ggplot(GDP)+
geom_line(aes(x=date,y=forecast-forecast_late), color = 'red',alpha=.5)+
geom_point(aes(x=date,y=forecast-forecast_late), color = 'red', size = .5, shape=4)+
ylim(-10,10)
## ---- fig.show='hold', fig.cap = 'Constant quantile analysis for the main forecast.'----
res <- estimate.functional(model = constant,
state = GDP$forecast, Y=GDP$observation,X=GDP$forecast)
summary(res)
## ---- fig.show='hold', fig.cap = 'Constant quantile analysis for the main forecast.'----
res <- estimate.functional(model = constant,
instruments = c("lag(lag(Y))","X"),
state = GDP$forecast, Y=GDP$observation,X=GDP$forecast)
summary(res)
## ---- fig.show='hold', fig.cap = 'Constant quantile analysis for the late forecast.'----
res <- estimate.functional(model = constant,
state = GDP$forecast_late, Y=GDP$observation,X=GDP$forecast_late)
summary(res)
car::linearHypothesis(res$gmm,"Theta[1]=.5")
## ---- fig.show='hold', fig.cap = 'State-dependent quantile analysis with a linear model (with probit) link that depends on the current forecast.'----
res <- estimate.functional(model = probit_linear,
state = GDP$forecast, Y=GDP$observation,X=GDP$forecast)
summary(res)
plot(res,hline = TRUE)
## ---- fig.show='hold', fig.cap = 'State-dependent quantile analysis with a linear model (with probit link) that depends on the current forecast with instruments $w_t=(1, Y_{t-1}, Y_{t-2})$.'----
res <- estimate.functional(model = probit_linear, instruments = c("lag(Y)","lag(lag(Y))"),
state = GDP$forecast, Y=GDP$observation,X=GDP$forecast)
summary(res)
plot(res,hline = TRUE)
## ---- fig.show='hold', fig.cap = 'State-dependent quantile analysis with a linear model (with probit link) that depends on the current forecast with instruments $w_t=(1, X_t, X_{t-1})$.'----
res <- estimate.functional(model = probit_linear,
instruments = c( "X", "lag(X)"),
state = GDP$forecast, Y=GDP$observation,X=GDP$forecast)
summary(res)
plot(res,hline = TRUE)
## ---- fig.show='hold', fig.cap = 'State-dependent quantile analysis with a linear model (with probit link) that depends on the current forecast with instruments $w_t=(1, X_t, Y_{t-2})$.'----
res <- estimate.functional(model = probit_linear,
instruments = c( "X", "lag(lag(Y))"),
state = GDP$forecast, Y=GDP$observation,X=GDP$forecast)
summary(res)
plot(res,hline = TRUE)
## ---- fig.show='hold', fig.cap = 'State-dependent quantile analysis with a linear model (with probit link) that depends on the current forecast with instruments $w_t=(1, X_t, X_{t-1} - Y_{t-1}, (X_{t-1} - Y_{t-1})^2, X_{t-1}, X_{t-2} - Y_{t-2}, (X_{t-2} - Y_{t-2})^2$.'----
res <- estimate.functional(model = probit_linear,
instruments = c( "X", "lag(X-Y)", "lag(X-Y)^2",
"lag(X)", "lag(lag(X-Y))", "lag(lag(X-Y))^2"),
state = GDP$forecast, Y=GDP$observation,X=GDP$forecast)
summary(res)
plot(res,hline = TRUE)
## ---- fig.show='hold', fig.cap = 'State-dependent quantile analysis with a quadratic and a cubic spline model (with probit link) that depends on the current forecast.'----
res_quadratic <- estimate.functional(model = probit_spline2,
instruments = c( "X", "lag(X-Y)", "lag(X-Y)^2",
"lag(X)", "lag(lag(X-Y))", "lag(lag(X-Y))^2"),
state = GDP$forecast, Y=GDP$observation,X=GDP$forecast)
summary(res_quadratic)
res_cubic <- estimate.functional(model = probit_spline3,
instruments = c( "X", "lag(X-Y)", "lag(X-Y)^2",
"lag(X)", "lag(lag(X-Y))", "lag(lag(X-Y))^2"),
state = GDP$forecast, Y=GDP$observation,X=GDP$forecast)
summary(res_cubic)
plot(res_quadratic,hline = TRUE)
plot(res_cubic,hline = TRUE)
## ---- fig.show='hold', fig.cap = 'State-dependent quantile analysis with a linear model (with probit) link that depends on the lagged observation.'----
res <- estimate.functional(model = probit_linear,
state = lag(GDP$observation), Y=GDP$observation,X=GDP$forecast)
summary(res)
#plot(res,hline = TRUE)
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