DMQ (Q5980503)
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Dynamic Multiple Quantile (DMQ) Model
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | DMQ |
Dynamic Multiple Quantile (DMQ) Model |
Statements
Perform estimation, prediction, and simulations using the Dynamic Multiple Quantile model of Catania and Luati (2023) <doi:10.1016/j.jeconom.2022.11.002>. Can be used to estimate a set of conditional time-varying quantiles of a time series that do not cross.
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28 October 2023
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