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erfe: Fits Expectile Regression for Panel Fixed Effect Model
Fits the Expectile Regression for Fixed Effect (ERFE) estimator. The ERFE model extends the within-transformation strategy to solve the incidental parameter problem within the expectile regression framework. The ERFE model estimates the regressor effects on the expectiles of the response distribution. The ERFE estimate corresponds to the classical fixed-effect within-estimator when the asymmetric point is 0.5. The paper by Barry, Oualkacha, and Charpentier (2021, <arXiv:2108.04737>) gives more details about the ERFE model.
Getting started
Browse package contents
Package details |
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| Author | Amadou Barry [cre, aut] (<https://orcid.org/0000-0003-3396-1724>) |
| Maintainer | Amadou Barry <barryhafia@gmail.com> |
| License | GPL-3 |
| Version | 0.0.1 |
| URL | https://arxiv.org/abs/2108.04737 |
| Package repository | View on CRAN |
| Installation |
Install the latest version of this package by entering the following in R:
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