Time-varying parameter quantile regression (TVP-QR) model with time-varying scale parameter, proposed in "Modeling tail risks of inflation using unobserved component quantile regressions," Journal of Economic Dynamics and Control.
Time-varying parameter quantile regression (TVP-QR) model with time-varying scale parameter, proposed in "Modeling tail risks of inflation using unobserved component quantile regressions," Journal of Economic Dynamics and Control.