Quantile on Quantile regression & VAR for VAR model

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QAMU
Posts: 3
Joined: Wed Oct 16, 2019 9:38 pm

Quantile on Quantile regression & VAR for VAR model

Postby QAMU » Thu Oct 17, 2019 7:23 pm

I would be great to have Quantile on Quantile regression & VAR for VAR model in Eviews Add-in.

dakila
Posts: 479
Joined: Tue Nov 24, 2015 4:57 pm

Re: Quantile on Quantile regression & VAR for VAR model

Postby dakila » Fri Oct 18, 2019 12:34 am

Could you post the reference paper?

Ameer
Posts: 4
Joined: Sat Jul 06, 2019 3:10 am

Re: Quantile on Quantile regression & VAR for VAR model

Postby Ameer » Wed Oct 30, 2019 7:30 am

Dear sir,

The paper related to VAR for VaR model can be found in the link below
https://www.sciencedirect.com/science/article/pii/S0304407615000287
A Matlab code of the method is posted in this page
http://www.simonemanganelli.org/Simone/Research.html

Regarding the quantile on quantile regression, the article of this method is in the link below
https://www.sciencedirect.com/science/article/pii/S0378426615000217
I have used before in R with the code I attached in this post, it's easy to use but the results need to be plotted with the surface graph which I think is not available in Eviews
Attachments
QQR code in R.txt
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