de_dr: de_dr

In WeigeHuangEcon/dec: Decomposition

Description

decompose quantile differences using distribution regression

Usage

de_dr(formula, y0, ref = "g1", data1, data2, link = "logit", qs)

Arguments

formula	a formula: y ~ x1+x2
y0	a grid of threshold values
ref	reference group. ref=g1 or g2.
data1	data for group 1
data2	data for group 2
link	link function: logit or probit
qs	quantiles to compute

Value

decomposition components of the quantile differences

Examples

data(five)
na=five[,1:6]
eu=five[,7:12]
colnames=c("Mkt.RF","SMB","HML","RMW", "CMA","SMALL.LoBM")
colnames(na)=colnames
colnames(eu)=colnames
formula=SMALL.LoBM~Mkt.RF+SMB+HML+RMW+CMA
y=na$SMALL.LoBM
y0=seq(quantile(y,probs = 0.05),quantile(y,probs = 0.95),length=100)
qs=seq(0.1,0.9,length.out = 10)
deres=de_dr(formula,y0,ref="g1",data1=na,data2=eu,link="logit",qs=qs)

WeigeHuangEcon/dec documentation built on May 7, 2019, 2:27 p.m.