expectiles function

Identification function for state-dependent expectiles

expectiles(x, y, stateVariable, theta, model, ...)

Arguments

• x: forecast
• y: realization
• stateVariable: state variable
• theta: model parameter to be estimated
• model: model function
• ...: ...

Examples

## Estimate expectile level for constant specification model with estimate.functional

res <- estimate.functional(Y=GDP$observation, X=GDP$forecast,
model=constant,
instruments="const",
iden.fct = expectiles)
summary(res)
plot(res)

See Also

Other identification functions: quantiles