f_compile_quantile {atRisk}

Estimation of quantiles

Description

Predicted values based on each quantile regression (Koenker and Basset, 1978), at time=t_trgt, for each quantile in qt_trgt.

Usage

f_compile_quantile(qt_trgt, v_dep, v_expl, t_trgt)

Arguments

qt_trgt

Numeric vector, dim k, of k quantiles for different qt-estimations

v_dep

Numeric vector of the dependent variable

v_expl

Numeric vector of the (k) explanatory variable(s)

t_trgt

Numeric time target (optional)

Value

Numeric matrix with the predicted values based on each quantile regression, at time fixed in input

References

Koenker, Roger, and Gilbert Bassett Jr. "Regression quantiles." Econometrica: journal of the Econometric Society (1978): 33-50.

Examples

# Import data
data("data_euro")

# Data process
PIB_euro_forward_4 = data_euro["GDP"][c(5:length(data_euro["GDP"][,1])),]
FCI_euro_lag_4 = data_euro["FCI"][c(1:(length(data_euro["GDP"][,1]) - 4)),]
CISS_euro_lag_4 = data_euro["CISS"][c(1:(length(data_euro["GDP"][,1]) - 4)),]

quantile_target <- as.vector(c(0.10,0.25,0.75,0.90))
results_quantile_reg <- f_compile_quantile(qt_trgt=quantile_target,
v_dep=PIB_euro_forward_4,
v_expl=cbind(FCI_euro_lag_4, CISS_euro_lag_4),
t_trgt = 30)