| crossqreg.partial {quantilogram} | R Documentation |
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.