expectiles {PointFore}

Identification function for state-dependent expectiles

Description

Identification function for state-dependent expectiles

Usage

expectiles(x, y, stateVariable, theta, model, ...)

Arguments

x

forecast

y

realization

stateVariable

state variable

theta

model parameter to be estimated

model

model function

...

...

See Also

Other identification functions: quantiles

Examples

## Estimate expectile level for constant specification model with estimate.functional

res <- estimate.functional(Y=GDP$observation, X=GDP$forecast,
model=constant,
instruments="const",
iden.fct = expectiles)
summary(res)
plot(res)