mqqr: Multivariate Quantile-on-Quantile Regression
Implements Multivariate Quantile-on-Quantile Regression
(m-QQR) of Sinha, Ghosh, Hussain, Nguyen and Das (2023)
<doi:10.1016/j.eneco.2023.107021>, extending the bivariate
Quantile-on-Quantile regression of Sim and Zhou (2015)
<doi:10.1016/j.jbankfin.2015.01.013> to include exogenous moderators
and controls with optional interaction terms. For each pair of
quantile levels (theta of the response and tau of the regressor) the
package fits a locally-weighted quantile regression of y on the
principal regressor x, a lagged dependent variable, moderators Z and
the x*Z interaction terms, using Gaussian kernel weights on the
empirical cumulative distribution function (CDF) distance. Bootstrap
standard errors and Koenker-Machado pseudo R-squared are reported.
Visualisations include 'MATLAB'-style 'Parula' and 'Jet' 3D
surfaces, heatmaps and contour plots through 'plotly'.
| 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.mqqr (may not be active yet) |
| Author: |
Merwan Roudane [aut, cre, cph],
Avik Sinha [ctb] (Original m-QQR 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/multiqqr/issues |
| License: |
GPL-3 |
| URL: |
https://github.com/merwanroudane/multiqqr |
| NeedsCompilation: |
no |
| Citation: |
mqqr citation info |
| Materials: |
NEWS |
| CRAN checks: |
mqqr results |
Documentation:
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