QVAR: Quantile vector autoregression

In ConnectednessApproach: Connectedness Approach

Quantile vector autoregression

Description

Estimation of a QVAR using equation-by-equation quantile regressions.

Usage

QVAR(x, configuration = list(nlag = 1, tau = 0.5))

Arguments

x	zoo data matrix
configuration	model configuration
nlag	Lag length
tau	quantile between 0 and 1

Value

Estimate QVAR model

Author(s)

David Gabauer

References

White, H., Kim, T. H., & Manganelli, S. (2015). VAR for VaR: Measuring tail dependence using multivariate regression quantiles. Journal of Econometrics, 187(1), 169-188.

Chatziantoniou, I., Gabauer, D., & Stenfors, A. (2021). Interest rate swaps and the transmission mechanism of monetary policy: A quantile connectedness approach. Economics Letters, 204, 109891.

Examples

#data(dy2012)
#fit = QVAR(dy2012, configuration=list(nlag=1, tau=0.5))

ConnectednessApproach documentation built on Aug. 31, 2022, 5:05 p.m.