Estimating impulse-response functions for macroeconomic models using directional quantiles
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Cites work
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- Computing multiple-output regression quantile regions
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- Inference on impulse response functions in structural VAR models
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- Instrumental variable quantile regression: a robust inference approach
- Joint confidence sets for structural impulse responses
- Multivariate quantile impulse response functions
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- Quantile Autoregression
- Quantile regression methods for recursive structural equation models
- Reduced form vector directional quantiles
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- Specification tests of parametric dynamic conditional quantiles
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- 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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