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:
mqqcause_1.0.0.tar.gz
mqqcause_1.0.0.zip(r-4.7)mqqcause_1.0.0.zip(r-4.6)mqqcause_1.0.0.zip(r-4.5)
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✨
card.svg |card.png
mqqcause/json (API)
NEWS
| # 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
Last updated from:a2b28b3025. Checks:9 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-x86_64 | OK | 171 | ||
| source / vignettes | OK | 184 | ||
| linux-release-x86_64 | OK | 183 | ||
| macos-release-arm64 | OK | 142 | ||
| macos-oldrel-arm64 | OK | 178 | ||
| windows-devel | OK | 128 | ||
| windows-release | OK | 104 | ||
| windows-oldrel | OK | 116 | ||
| wasm-release | OK | 123 |
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 page | Topics |
|---|---|
| mqqcause: Multivariate Quantile-on-Quantile Granger Causality | mqqcause-package |
| MATLAB-style colour palettes for mqqcause | bluered_colors matlab_jet_colors mqqcause_colorscales mqqcause_palette parula_colors resolve_colorscale sinha_colors turbo_colors |
| Visualisations for QQ Causality Results | plot_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 blocks | gaussian_kernel qq_weights weighted_qr |