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mqqcause  

Multivariate Quantile-on-Quantile Granger Causality
View on CRAN: Click here


Download and install mqqcause package within the R console
Install from CRAN:
install.packages("mqqcause")

Install from Github:
library("remotes")
install_github("cran/mqqcause")

Install by package version:
library("remotes")
install_version("mqqcause", "1.0.0")



Attach the package and use:
library("mqqcause")
Maintained by
Merwan Roudane
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2026-06-01
Latest Update: 2026-06-01
Description:
Implements bivariate and Multivariate Quantile-on-Quantile Granger causality tests building on the Quantile-on-Quantile regression framework of Sim and Zhou (2015) <doi:10.1016/j.jbankfin.2015.01.013> and the quantile Granger causality test of Troster (2018) <doi:10.1080/07474938.2016.1172400>. The bivariate test estimates the local-linear slope in the quantile regression of y_t on lagged x_t with lagged y_t as control, using Gaussian kernel weights, and tests it against zero by paired bootstrap. The multivariate (conditional) test additionally conditions on a set of moderators Z and optional x times Z interaction terms, in the spirit of Sinha, Ghosh, Hussain, Nguyen and Das (2023) <doi:10.1016/j.eneco.2023.107021>. A Sup-Wald summary across the quantile grid is also provided. Heatmaps and 3D surfaces default to the 'MATLAB' 'Parula' colour map.
How to cite:
Merwan Roudane (2026). mqqcause: Multivariate Quantile-on-Quantile Granger Causality. R package version 1.0.0, https://cran.r-project.org/web/packages/mqqcause. Accessed 28 Aug. 2026.
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