Re: [Gretl-users] local quantile regression
On Tue, 14 Aug 2012, Erman Terciyanlı wrote:
I am working on quantile regreession for estimating different
quantiles of our forecast in gretl for a while. Actually we have
succeed to call quantreg from our C code but we additionally need
to make it for local quantiles that have weights. Hence we need to
estimate quantiles like wls model using weights between local
forecast and observations. Is it possible in gretl or better to
use another tool?
In gretl you have loess and nadarwat (Nadaraya-Watson) as locally
weighted nonparametric methods. As for locally weighted quantile
regression, you'd have to code that yourself.
Allin Cottrell