DMQ-package {DMQ}

Dynamic Multiple Quantiles model in R

Description

The DMQ package allows us to simulate, estimate and forecast using the Dynamic Multiple Quantile (DMQ) model of Catania, L., & Luati, A. (2022). Semiparametric modeling of multiple quantiles. Journal of Econometrics, see doi:10.1016/j.jeconom.2022.11.002.

Note

Please cite Catania and Luati (2022) in working papers and published papers that use DMQ. Use citation("DMQ").

Author(s)

Leopoldo Catania [aut,cre], Alessandra Luati [aut]

Maintainer: Leopoldo Catania <[e-mail]>

References

Catania, L, and Luati, A. (2023). "Semiparametric modeling of multiple quantiles." Journal of Econometrics doi:10.1016/j.jeconom.2022.11.002.