Fitter Function for IVX-QR Models — ivx_qr_fit • ivx

Basic function called by ivx_qr. Should only be used directly by experienced users.

Usage

ivx_qr_fit(y, x, tau = 0.5, beta = 0.95, cz = 5, ...)

Arguments

y: vector of observations of length n, or a matrix with n rows.
x: design matrix of dimension n * p.
tau: quantile level(s) in (0, 1). A vector fits one model per level.
beta, cz: tuning parameters of the IVX instrument \(z_t = \sum_{j=0}^{t-1} (1 - c_z/n^\beta)^j \Delta x_{t-j}\). Defaults (beta = 0.95, cz = 1) follow Kostakis et al. (2015).
...: currently disregarded.

Examples

if (requireNamespace("quantreg", quietly = TRUE)) {
  ivx_qr_fit(kms$Ret, as.matrix(kms$DP), tau = 0.5)$Wald_Joint
}
#> [1] 0.4190654