get_rq_model.fars

Returns the <code>rq</code> fit stored inside a <code>fars</code> object at the requested quantile.

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_rq_model.fars function

<dl><dt>x</dt>
<dd>An object of class <code>mldfm_subsample</code>.</dd>
<dt>tau</dt>
<dd>Numeric scalar in (0, 1) indicating the desired quantile.</dd>
<dt>...</dt>
<dd>Additional arguments (ignored).</dd></dl>

Arguments

Extract a Specific rq Object from a fars Object — get_rq_model.fars

<dl>

<dt>x</dt>
<dd>An object of class <code>mldfm_subsample</code>.</dd>


<dt>tau</dt>
<dd>Numeric scalar in (0, 1) indicating the desired quantile.</dd>


<dt>...</dt>
<dd>Additional arguments (ignored).</dd>

</dl>

get_rq_model.fars: Extract a Specific `rq` Object from a `fars` Object

Description

Usage

Value

Arguments

Examples