NEWS

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esreg 0.6.2 (2023-05-13)

• Fix bug in loss function "esr_loss".

esreg 0.6.1 (2023-03-22)

• Resolve compiler warnings.

esreg 0.6.0 (2022-04-09)

• Estimation of model parameters in eq. (28): return starting values if the numerical optimization algorithms do not terminate successfully instead of raising an error.

esreg 0.5.0 (2019-11-15)

• Account for misspecification in the covariance estimator
• Include information on published paper

esreg 0.4.0 (2019-01-09)

• Allow different covariates in the quantile and the expected shortfall regression
• Restructure the package using the recommendations provided here: http://www.milbo.org/doc/modguide.pdf
• Remove unused pieces of code and simplify handling

esreg 0.3.2

Improved speed of the semi-parametric covariance estimator

esreg 0.3.1 (2017-08-22)

Fixed an overloaded ‘pow(int&, int)’ bug (Solaris), improved the help files and marked several functions as internal.

esreg 0.3.0 (2017-08-17)

Bump version for CRAN release

esreg 0.2.2

Clean imports in description

esreg 0.2.1

Add the residuals methods

esreg 0.2.0

Add the semi-parametric estimator of the truncated conditional variance

esreg 0.1.9

Replace the random restart optimizer with the iterated local search

esreg 0.1.8

Move GenSA to the optional packages

esreg 0.1.7

Add estimation of the truncated conditional variance using the skewed Student-t distribution.

esreg 0.1.6

Remove the one_shot estimation method: use random_restart instead.

esreg 0.1.4

Added an estimator of the asymptotic covariance of the two-step estimator

esreg 0.1.3

Added a (extremely fast but less precise) two-step estimator

esreg 0.1.2

Added new specification functions

esreg 0.1.1

Added the Z-estimator

esreg 0.1.0

Initial release