Quantile on Quantile regression & VAR for VAR model
Posted: Thu Oct 17, 2019 7:23 pm
by QAMU
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
Posted: Fri Oct 18, 2019 12:34 am
by dakila
Could you post the reference paper?
Re: Quantile on Quantile regression & VAR for VAR model
Posted: Wed Oct 30, 2019 7:30 am
by Ameer
Dear sir,
The paper related to VAR for VaR model can be found in the link below
https://www.sciencedirect.com/science/a ... 7615000287
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/a ... 6615000217
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