erfe: Fits Expectile Regression for Panel Fixed Effect Model
Fits the Expectile Regression for Fixed Effect (ERFE)
estimator. The ERFE model extends the within-transformation strategy
to solve the incidental parameter problem within the expectile
regression framework. The ERFE model estimates the regressor effects
on the expectiles of the response distribution. The ERFE estimate
corresponds to the classical fixed-effect within-estimator when the
asymmetric point is 0.5. The paper by Barry, Oualkacha, and
Charpentier (2021, <doi:10.48550/arXiv.2108.04737>) gives more details about the
ERFE model.
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