QVAR {ConnectednessApproach}

Quantile vector autoregression

Description

Estimation of a QVAR using equation-by-equation quantile regressions.

Usage

QVAR(x, configuration = list(nlag = 1, tau = 0.5, method = "fn"))

Arguments

x

zoo data matrix

configuration

model configuration

nlag

Lag length

tau

quantile between 0 and 1

method

See methods for rq in quantreg package. Default is "fn".

Value

Estimate QVAR model

Author(s)

David Gabauer

References

White, H., Kim, T. H., & Manganelli, S. (2015). VAR for VaR: Measuring tail dependence using multivariate regression quantiles. Journal of Econometrics, 187(1), 169-188.

Chatziantoniou, I., Gabauer, D., & Stenfors, A. (2021). Interest rate swaps and the transmission mechanism of monetary policy: A quantile connectedness approach. Economics Letters, 204, 109891.

Examples

data("dy2012")
fit = QVAR(dy2012, configuration=list(nlag=1, tau=0.5))