PDMIFQVAR {PDMIF}

PDMIFQVAR

Description

This function estimates heterogeneous quantile panel data VAR models with interactive effects.

Usage

PDMIFQVAR(Y, LAG, TAU, Nfactors, Maxit = 100, tol = 0.001)

Arguments

Y

The T times N panel of response where N=number of individuals, T=length of time series.

LAG

The number of lags from y_t-1 to y_t-LAG used in the VAR.

TAU

A pre-specified quantile point.

Nfactors

A pre-specified number of common factors.

Maxit

A maximum number of iterations in optimization. Default is 100.

tol

Tolerance level of convergence. Default is 0.001.

Value

A list with the following components:

• Coefficients: The estimated heterogeneous coefficients.

• Lower05: Lower end (5%) of the 90% confidence interval of the regression coefficients.

• Upper95: Upper end (95%) of the 90% confidence interval of the regression coefficients.

• Factors: The estimated common factors across groups.

• Loadings: The estimated quantile point under a given tau.

• Predict: The conditional expectation of response variable.

• pval: p-value for testing hypothesis on heterogeneous coefficients.

• Se: Standard error of the estimated regression coefficients.

References

Ando, T. and Bai, J. (2020) Quantile co-movement in financial markets Journal of the American Statistical Association.

Examples

fit <- PDMIFQVAR(data8Y,2,0.1,2,5,0.8)