crossq.partial.sb.opt: Stationary Bootstrap for the Partial Cross-Quantilogram dwith...

In quantilogram: Cross-Quantilogram

Stationary Bootstrap for the Partial Cross-Quantilogram dwith the choice of the stationary-bootstrap parameter

Description

Returns critical values for the partial cross-quantilogram, based on the stationary bootstrap with the choice of the stationary-bootstrap parameter.

Usage

crossq.partial.sb.opt(DATA, vecA, k, Bsize, sigLev)

Arguments

DATA	The original data matrix
vecA	A pair of two probability values at which sample quantiles are estimated
k	A lag order
Bsize	The number of repetition of bootstrap
sigLev	The statistical significance level

Details

This function generates critical values for for the partial cross-quantilogram, using the stationary bootstrap in Politis and Romano (1994).

Value

The boostrap critical values

Author(s)

Heejoon Han, Oliver Linton, Tatsushi Oka and Yoon-Jae Whang

References

Han, H., Linton, O., Oka, T., and Whang, Y. J. (2016). "The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series." Journal of Econometrics, 193(1), 251-270.

Patton, A., Politis, D. N., and White, H. (2009). Correction to "Automatic block-length selection for the dependent bootstrap" by D. Politis and H. White. Econometric Reviews, 28(4), 372-375.

Politis, D. N., and White, H. (2004). "Automatic block-length selection for the dependent bootstrap." Econometric Reviews, 23(1), 53-70.

Politis, Dimitris N., and Joseph P. Romano. (1994). "The stationary bootstrap." Journal of the American Statistical Association 89.428: 1303-1313.

quantilogram documentation built on March 18, 2022, 5:29 p.m.