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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 |
| Reference manual: | mqqcause.html , mqqcause.pdf |
| Package source: | mqqcause_1.0.0.tar.gz |
| Windows binaries: | r-devel: not available, r-release: not available, r-oldrel: not available |
| macOS binaries: | r-release (arm64): mqqcause_1.0.0.tgz, r-oldrel (arm64): mqqcause_1.0.0.tgz, r-release (x86_64): mqqcause_1.0.0.tgz, r-oldrel (x86_64): mqqcause_1.0.0.tgz |
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These binaries (installable software) and packages are in development.
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