The hardware and bandwidth for this mirror is donated by dogado GmbH, the Webhosting and Full Service-Cloud Provider. Check out our Wordpress Tutorial.
If you wish to report a bug, or if you are interested in having us mirror your free-software or open-source project, please feel free to contact us at mirror[@]dogado.de.
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 |
| Reference manual: | mqqr.html , mqqr.pdf |
| Package source: | mqqr_1.0.0.tar.gz |
| Windows binaries: | r-devel: not available, r-release: not available, r-oldrel: not available |
| macOS binaries: | r-release (arm64): mqqr_1.0.0.tgz, r-oldrel (arm64): mqqr_1.0.0.tgz, r-release (x86_64): mqqr_1.0.0.tgz, r-oldrel (x86_64): mqqr_1.0.0.tgz |
Please use the canonical form https://CRAN.R-project.org/package=mqqr to link to this page.
These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
Health stats visible at Monitor.