crossqreg.partial: Paritial Cross-Quantilogram

In quantilogram: Cross-Quantilogram

Paritial Cross-Quantilogram

Description

Returns the partial cross-quantilogram

Usage

crossqreg.partial(DATA1, DATA2, vecA, k)

Arguments

DATA1	An input matrix (T x p1)
DATA2	An input matrix (T x p2)
vecA	A vector of probability values at which sample quantiles are estiamted
k	The lag order

Details

This function obtains the partial corss-quantilogram and the cross-quantilogram. To obtain the partial cross-correlation given an input matrix, this function interacts the values of the first column and the k-lagged values of the rest of the matrix.

Value

The partial corss-quantilogram and the cross-quantilogram

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.

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