/quantileproj

Quantile Local Projections

Primary LanguageJupyter NotebookGNU General Public License v3.0GPL-3.0

Quantile Local Projections

Python module to estimate quantile local projections, and produce useful outputs for economists

The example notebook is available at https://github.com/romainlafarguette/quantile-local-projections/blob/master/Quantile%20Local%20Projections.ipynb

Based on the QuantileReg package from statsmodels

Based on my conditional quantile sampling module (https://github.com/romainlafarguette/cqsampling)

The quantile uncrossing part is based on either:

Chernozhukov et al. (2010) Quantile and Probability Curves Without Crossing, Econometrica

Schmidt and Zhu (2016), Quantile Spacings: A Simple Method for the Joint Estimation of Multiple Quantiles Without Crossing

Author: Romain Lafarguette, https://github.com/romainlafarguette, August 2020

Work in progress. To be done:

  • Term structure
  • Normalized coefficients via zscore
  • Bootstrapped se on the uncrossed ITS