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