Eviews can esimate an equation by Quantile Regression (LAD) but how can it estimate for the dynamic regression quantile? I mean the estimation of this following regression:
q(alpha,t)=a + b.q(Alpha,t-1)+ epxilon
With q(Alpha,t) is the alpha-quantile of distribution give confidence level at time t.
Many Thanks.
How to optimize Dynamic Regression Quantile
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Hvtcapollo
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