Interpretation of Point Forecasts as State-Dependent Quantiles and Expectiles
Constant specification model
Estimate Functional
Identification function for state-dependent expectiles
Lagging variables for use in estimate functional
linear logistic specification model
Plots object of class "pointfore"
PointFore: A package for estimating state-dependent quantile and expec...
probit break specification model with probit link
linear specification model with probit link
quadratic spline specification model with probit link
cubic spline specification model with probit link
Identification function for state-dependent quantiles
Method for object of class pointfore
Estimate specification models for the state-dependent level of an optimal quantile/expectile forecast. Wald Tests and the test of overidentifying restrictions are implemented. Plotting of the estimated specification model is possible. The package contains two data sets with forecasts and realizations: the daily accumulated precipitation at London, UK from the high-resolution model of the European Centre for Medium-Range Weather Forecasts (ECMWF, <https://www.ecmwf.int/>) and GDP growth Greenbook data by the US Federal Reserve. See Schmidt, Katzfuss and Gneiting (2015) <arXiv:1506.01917> for more details on the identification and estimation of a directive behind a point forecast.