View source: R/crossqreg.partial.R
crossqreg.partial | R Documentation |
Returns the partial cross-quantilogram
crossqreg.partial(DATA1, DATA2, vecA, k)
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 |
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.
The partial corss-quantilogram and the cross-quantilogram
Heejoon Han, Oliver Linton, Tatsushi Oka and Yoon-Jae Whang
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.
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