mqqcause: Multivariate Quantile-on-Quantile Granger Causality
Implements bivariate and Multivariate Quantile-on-Quantile
Granger causality tests building on the Quantile-on-Quantile
regression framework of Sim and Zhou (2015)
<doi:10.1016/j.jbankfin.2015.01.013> and the quantile Granger
causality test of Troster (2018)
<doi:10.1080/07474938.2016.1172400>. The bivariate test estimates
the local-linear slope in the quantile regression of y_t on lagged
x_t with lagged y_t as control, using Gaussian kernel weights, and
tests it against zero by paired bootstrap. The multivariate
(conditional) test additionally conditions on a set of moderators Z
and optional x times Z interaction terms, in the spirit of Sinha,
Ghosh, Hussain, Nguyen and Das (2023)
<doi:10.1016/j.eneco.2023.107021>. A Sup-Wald summary across the
quantile grid is also provided. Heatmaps and 3D surfaces default to
the 'MATLAB' 'Parula' colour map.
| Version: |
1.0.0 |
| Depends: |
R (≥ 3.5.0) |
| Imports: |
quantreg (≥ 5.0), plotly (≥ 4.0.0), stats, utils, grDevices |
| Suggests: |
knitr, rmarkdown, testthat (≥ 3.0.0) |
| Published: |
2026-06-01 |
| DOI: |
10.32614/CRAN.package.mqqcause (may not be active yet) |
| Author: |
Merwan Roudane [aut, cre, cph],
Avik Sinha [ctb] (Original multivariate QQ causality methodology),
Nicholas Sim [ctb] (Original QQ regression methodology),
Hongtao Zhou [ctb] (Original QQ regression methodology) |
| Maintainer: |
Merwan Roudane <merwanroudane920 at gmail.com> |
| BugReports: |
https://github.com/merwanroudane/qqcaus/issues |
| License: |
GPL-3 |
| URL: |
https://github.com/merwanroudane/qqcaus |
| NeedsCompilation: |
no |
| Citation: |
mqqcause citation info |
| Materials: |
NEWS |
| CRAN checks: |
mqqcause results |
Documentation:
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