AGBQR - Adaptive Generalized Bayesian Quantile Regression
Implements adaptive generalized Bayesian quantile
regression with quantile-specific learning rates, HAC-based
calibration, Gibbs posterior simulation, posterior summaries,
predictive evaluation, and visualization tools. The package
builds on the generalized Bayesian composite quantile
regression framework of Hardy and Korobilis (2026)
<doi:10.2139/ssrn.6618603> by allowing learning rates to vary
across quantile levels. The implementation is designed for
empirical work with small and moderate time-series samples
where posterior calibration and tail-specific inference are
important.