1) Standardize the data to force mean zero and variance unity, 2) kernel regress x on y, with the option ‘residuals = TRUE’ and finally 3) compute the absolute values of residuals.
vector of data on the dependent variable
data on the regressors which can be a matrix
The first argument is assumed to be the dependent variable. If
abs_stdres(x,y) is used, you are regressing x on y (not the usual y
on x). The regressors can be a matrix with 2 or more columns. The missing values
are suitably ignored by the standardization.
Absolute values of kernel regression residuals are returned after standardizing the data on both sides so that the magnitudes of residuals are comparable between regression of x on y on the one hand and regression of y on x on the other.
Prof. H. D. Vinod, Economics Dept., Fordham University, NY
Vinod, H. D. 'Generalized Correlation and Kernel Causality with Applications in Development Economics' in Communications in Statistics -Simulation and Computation, 2015, doi: 10.1080/03610918.2015.1122048
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