Package: mqqcause 1.0.0

Merwan Roudane

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.

Authors:Merwan Roudane [aut, cre, cph], Avik Sinha [ctb], Nicholas Sim [ctb], Hongtao Zhou [ctb]

mqqcause_1.0.0.tar.gz
mqqcause_1.0.0.zip(r-4.7-any)mqqcause_1.0.0.zip(r-4.6-any)mqqcause_1.0.0.zip(r-4.5-any)
mqqcause_1.0.0.tgz(r-4.6-any)mqqcause_1.0.0.tgz(r-4.5-any)
mqqcause_1.0.0.tar.gz(r-4.7-any)mqqcause_1.0.0.tar.gz(r-4.6-any)
mqqcause_1.0.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
mqqcause/json (API)

# Install 'mqqcause' in R:
install.packages('mqqcause', repos = c('https://merwanroudane.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/merwanroudane/qqcaus/issues

On CRAN:

Conda:

3.18 score 1 stars 217 downloads 19 exports 71 dependencies

Last updated from:a2b28b3025. Checks:9 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-develOK149
source / vignettesOK237
linux-releaseOK147
macos-releaseOK141
macos-oldrelOK143
windows-develOK115
windows-releaseOK108
windows-oldrelOK82
wasm-releaseOK117

Exports:bluered_colorsgaussian_kernelmatlab_jet_colorsmqq_causalitymqqcause_colorscalesmqqcause_paletteparula_colorsplot_qq_causality_3dplot_qq_causality_contourplot_qq_causality_heatmapplot_significance_heatmapqq_causalityqq_causality_to_matrixqq_weightsresolve_colorscalesinha_colorssup_waldturbo_colorsweighted_qr

Dependencies:askpassbase64encbslibcachemclicpp11crosstalkcurldata.tabledigestdplyrevaluatefarverfastmapfontawesomefsgenericsggplot2gluegtablehighrhtmltoolshtmlwidgetshttrisobandjquerylibjsonliteknitrlabelinglaterlatticelazyevallifecyclemagrittrMASSMatrixMatrixModelsmemoisemimeopensslotelpillarpkgconfigplotlypromisespurrrquantregR6rappdirsRColorBrewerRcpprlangrmarkdownS7sassscalesSparseMstringistringrsurvivalsystibbletidyrtidyselecttinytexutf8vctrsviridisLitewithrxfunyaml

Readme and manuals

Help Manual

Help pageTopics
mqqcause: Multivariate Quantile-on-Quantile Granger Causalitymqqcause-package
MATLAB-style colour palettes for mqqcausebluered_colors matlab_jet_colors mqqcause_colorscales mqqcause_palette parula_colors resolve_colorscale sinha_colors turbo_colors
Visualisations for QQ Causality Resultsplot_qq_causality_3d plot_qq_causality_contour plot_qq_causality_heatmap plot_significance_heatmap
Quantile-on-Quantile Granger Causality (Bivariate and Multivariate)mqq_causality qq_causality qq_causality_to_matrix sup_wald
Numerical building blocksgaussian_kernel qq_weights weighted_qr