crossqreg.partial: Paritial Cross-Quantilogram

Description Usage Arguments Details Value Author(s) References

View source: R/crossqreg.partial.R

Description

Returns the partial cross-quantilogram

Usage

1
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 July 1, 2020, 10:26 p.m.