| crossq.partial.sb.opt {quantilogram} | R Documentation |
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.