qreg.hit: Quantile Hit

In quantilogram: Cross-Quantilogram

Quantile Hit

Description

Returns the matrix of quantil-hits

Usage

qreg.hit(DATA1, DATA2, vecA)

Arguments

DATA1	An input matrix (T x p1+1) with the first column of the dependent varaible and the the rest of columns with regressors
DATA2	An input matrix (T x p2+1) with the first column of the dependent varaible and the the rest of columns with regressors
vecA	A vector of probabilty values at which sample quantiles are estimated

Details

This function generates the quantile hits based on quantile regression, given a vector of probabilty values. The quantile regressions are esimated for each matrix of data and a pair of quantile hits are produced.

Value

 A matrix of quantile-hits

Author(s)

Heejoon Han, Oliver Linton, Tatsushi Oka and Yoon-Jae Whang

References

Koenker, R., and Bassett Jr, G. (1978). "Regression quantiles." Econometrica, 46(1), 33-50.

quantilogram documentation built on March 18, 2022, 5:29 p.m.