Quantile on Quantile regression & VAR for VAR model
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Quantile on Quantile regression & VAR for VAR model
I would be great to have Quantile on Quantile regression & VAR for VAR model in Eviews Add-in.
Re: Quantile on Quantile regression & VAR for VAR model
Could you post the reference paper?
Re: Quantile on Quantile regression & VAR for VAR model
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
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
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- QQR code in R.txt
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