Quantile regression with MIDAS

mpiktas / midasr

R package for mixed frequency time series data analysis.

http://mpiktas.github.io/midasr/

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Quantile regression with MIDAS #51

Closed TrungLeVn closed 1 year ago

TrungLeVn commented 7 years ago

Hi authors, Thank you for your amazing package. I am just wondering whether you have intentions to develop the MIDAS package with quantile regress application similar to the MIDAS toolbox now? It would be a big push to the package. Best, Trung

vzemlys commented 7 years ago

Yes, there is some preliminary code in dev branch. The problem with quantile regression is that it is very sensitive to initial starting values. I have not found out yet how to solve this satisfactorily.

varunyadav-github commented 4 years ago

Dear Authors, Thank you for the package. Is it possible to forecast using a midas_qr object? I am consistently getting an error: "(list) object cannot be coerced to type 'double'" Regards, Varun

vzemlys commented 1 year ago

Forecasting using midas_qr is not supported yet.