get_quantile_levels

Generic Function to Extract Quantile Levels

Provides a comprehensive framework in R for modeling and forecasting economic scenarios based on multi-level dynamic factor model. The package enables users to: (i) extract global and group-specific factors using a flexible multi-level factor structure; (ii) compute asymptotically valid confidence regions for the estimated factors, accounting for uncertainty in the factor loadings; (iii) obtain estimates of the parameters of the factor-augmented quantile regressions together with their standard deviations; (iv) recover full predictive conditional densities from estimated quantiles; (v) obtain risk measures based on extreme quantiles of the conditional densities; (vi) estimate the conditional density and the corresponding extreme quantiles when the factors are stressed.

Gian Pietro Bellocca

FARS

Factor-Augmented Regression Scenarios

Ignacio Garrón

Vladimir Rodríguez-Caballero

Esther Ruiz

get_quantile_levels function

<dl><dt>x</dt>
<dd>An object from which to extract the quantile levels</dd>
<dt>...</dt>
<dd>Additional arguments.</dd></dl>

Arguments

Generic Function to Extract Quantile Levels — get_quantile_levels

<dl>

<dt>x</dt>
<dd>An object from which to extract the quantile levels</dd>


<dt>...</dt>
<dd>Additional arguments.</dd>

</dl>

get_quantile_levels: Generic Function to Extract Quantile Levels

Description

Usage

Value

Arguments