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#' @title Quantile vector autoregression
#' @description Estimation of a QVAR using equation-by-equation quantile regressions.
#' @param x zoo data matrix
#' @param nlag Lag length
#' @param tau quantile between 0 and 1
#' @param configuration model configuration
#' @return Estimate QVAR model
#' @examples
#' #data(dy2012)
#' #fit = QVAR(dy2012, configuration=list(nlag=1, tau=0.5))
#' @importFrom quantreg rq
#' @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.
#' @author David Gabauer
#' @export
QVAR = function(x, configuration=list(nlag=1, tau=0.5)) {
tau = as.numeric(configuration$tau)
nlag = as.numeric(configuration$nlag)
if (!is(x, "zoo")) {
stop("Data needs to be of type 'zoo'")
}
if (nlag<=0) {
stop("nlag needs to be a positive integer")
}
if (tau <= 0 || tau >= 1) {
stop("tau needs to be within 0 and 1")
}
k = ncol(x)
NAMES = colnames(x)
if (is.null(NAMES)) {
NAMES = 1:k
}
Res = B = NULL
for (i in 1:k) {
z = embed(x, nlag+1)
fit = rq(z[,i] ~ z[,-c(1:k)], tau=tau)
B = rbind(B, fit$coefficients[-1])
Res = cbind(Res, fit$residuals)
}
Q = array(t(Res)%*%Res/nrow(Res), c(k, k, 1), dimnames=list(NAMES, NAMES, tail(zoo::index(rownames(x)),1)))
results = list(B=B, Q=Q)
}
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