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The goal of esreg is to simultaneously model the quantile and the Expected Shortfall of a response variable given a set of covariates.
You can install the released version from CRAN:
install.packages("esreg")The latest version of the package is under development at GitHub. You can install the development version using these commands:
install.packages("devtools")
devtools::install_github("BayerSe/esreg")If you are using Windows, you need to install the Rtools for compilation of the codes.
# Load the esreg package
library(esreg)
# Simulate data from DGP-(2) in the paper
set.seed(1)
x <- rchisq(1000, df = 1)
y <- -x + (1 + 0.5 * x) * rnorm(1000)
# Estimate the model and the covariance
fit <- esreg(y ~ x, alpha = 0.025)
cov <- vcov(object = fit, sparsity = "nid", cond_var = "scl_sp")A Joint Quantile and Expected Shortfall Regression Framework
These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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