Estimating impulse-response functions for macroeconomic models using directional quantiles
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Cites work
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- An IV Model of Quantile Treatment Effects
- Asymptotics for argmin processes: convexity arguments
- Central limit theorems for empirical and U-processes of stationary mixing sequences
- Computing multiple-output regression quantile regions
- Conditional quantiles and tail dependence
- Efficient Semiparametric Estimation of Quantile Treatment Effects
- Inference on impulse response functions in structural VAR models
- Instrumental quantile regression inference for structural and treatment effect models
- Instrumental variable quantile regression: a robust inference approach
- Joint confidence sets for structural impulse responses
- Multivariate quantile impulse response functions
- Multivariate quantiles and multiple-output regression quantiles: from \(L_{1}\) optimization to halfspace depth
- On directional multiple-output quantile regression
- Quantile Autoregression
- Quantile regression methods for recursive structural equation models
- Reduced form vector directional quantiles
- Regression Quantiles
- Specification tests of parametric dynamic conditional quantiles
- Testing for structural change in regression quantiles
- Testing linearity against threshold effects: uniform inference in quantile regression
- The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
- Uniformly semiparametric efficient estimation of treatment effects with a continuous treatment
- VAR for VaR: measuring tail dependence using multivariate regression quantiles
- Vector quantile regression: an optimal transport approach
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