{ "_id": "6ae471bc3d0f299392dd2efc", "Package": "mqqcause", "Type": "Package", "Title": "Multivariate Quantile-on-Quantile Granger Causality", "Version": "1.0.0", "Authors@R": "c(\nperson(\"Merwan\", \"Roudane\",\nemail = \"merwanroudane920@gmail.com\",\nrole = c(\"aut\", \"cre\", \"cph\")),\nperson(\"Avik\", \"Sinha\", role = \"ctb\",\ncomment = \"Original multivariate QQ causality methodology\"),\nperson(\"Nicholas\", \"Sim\", role = \"ctb\",\ncomment = \"Original QQ regression methodology\"),\nperson(\"Hongtao\", \"Zhou\", role = \"ctb\",\ncomment = \"Original QQ regression methodology\"))", "Description": "Implements bivariate and Multivariate Quantile-on-Quantile\nGranger causality tests building on the Quantile-on-Quantile\nregression framework of Sim and Zhou (2015)\n and the quantile Granger\ncausality test of Troster (2018)\n. The bivariate test\nestimates the local-linear slope in the quantile regression of\ny_t on lagged x_t with lagged y_t as control, using Gaussian\nkernel weights, and tests it against zero by paired bootstrap.\nThe multivariate (conditional) test additionally conditions on\na set of moderators Z and optional x times Z interaction terms,\nin the spirit of Sinha, Ghosh, Hussain, Nguyen and Das (2023)\n. A Sup-Wald summary across\nthe quantile grid is also provided. Heatmaps and 3D surfaces\ndefault to the 'MATLAB' 'Parula' colour map.", "License": "GPL-3", "Encoding": "UTF-8", "RoxygenNote": "7.3.1", "URL": "https://github.com/merwanroudane/qqcaus", "BugReports": "https://github.com/merwanroudane/qqcaus/issues", "Config/testthat/edition": "3", "NeedsCompilation": "no", "Config/pak/sysreqs": "cmake make libicu-dev libuv1-dev libssl-dev", "Repository": "https://merwanroudane.r-universe.dev", "Date/Publication": "2026-06-01 18:26:36 UTC", "RemoteUrl": "https://github.com/merwanroudane/qqcaus", "RemoteRef": "HEAD", "RemoteSha": "a2b28b30259b69ae401f36d0f98cb383247e9165", "Packaged": { "Date": "2026-10-30 09:19:04 UTC", "User": "root" }, "Author": "Merwan Roudane [aut, cre, cph],\nAvik Sinha [ctb] (Original multivariate QQ causality methodology),\nNicholas Sim [ctb] (Original QQ regression methodology),\nHongtao Zhou [ctb] (Original QQ regression methodology)", "Maintainer": "Merwan Roudane ", "_user": "merwanroudane", "_type": "src", "_file": 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