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DMQ: Dynamic Multiple Quantile (DMQ) Model

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.

Version: 0.1.2
Depends: R (≥ 3.6.0), Rsolnp, DEoptim, MASS, parallel
Imports: Rcpp (≥ 0.12.17)
LinkingTo: Rcpp, RcppArmadillo
Published: 2023-10-28
DOI: 10.32614/CRAN.package.DMQ
Author: Leopoldo Catania ORCID iD [cre, aut], Alessandra Luati ORCID iD [ctb]
Maintainer: Leopoldo Catania <leopoldo.catania at econ.au.dk>
License: GPL-3
NeedsCompilation: yes
Citation: DMQ citation info
Materials: ChangeLog
CRAN checks: DMQ results

Documentation:

Reference manual: DMQ.pdf

Downloads:

Package source: DMQ_0.1.2.tar.gz
Windows binaries: r-devel: DMQ_0.1.2.zip, r-release: DMQ_0.1.2.zip, r-oldrel: DMQ_0.1.2.zip
macOS binaries: r-release (arm64): DMQ_0.1.2.tgz, r-oldrel (arm64): DMQ_0.1.2.tgz, r-release (x86_64): DMQ_0.1.2.tgz, r-oldrel (x86_64): DMQ_0.1.2.tgz

Linking:

Please use the canonical form https://CRAN.R-project.org/package=DMQ to link to this page.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.