I plan to do a research on the determinants of stock prices in both developed- and emerging-market contexts, using ExtremeBounds. However, rather than applying the OLS regression framework, I think of employing the more comprehensive quantile regression model, given that such determinants may vary depending on market regimes. Based on ExtremeBounds R package, I tried many times to use the following modified code:
perform Extreme Bounds Analysis
eba.results <- eba(formula = mpg ~ wt | hp + gear | cyl + disp + drat + qsec + vs + am + carb,
data = mtcars[1:10, ], reg.fun= rq)
print out results
Instead of reg.fun=lm, I changed to reg. fun= rq
unfortunately, I got no success. I would really appreciate, if you could help me out on how to change the default OLS regression to Quantile regression. Thank you.