Other packages > Find by keyword >

mqqr  

Multivariate Quantile-on-Quantile Regression
View on CRAN: Click here


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

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

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



Attach the package and use:
library("mqqr")
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 Multivariate Quantile-on-Quantile Regression (m-QQR) of Sinha, Ghosh, Hussain, Nguyen and Das (2023) <doi:10.1016/j.eneco.2023.107021>, extending the bivariate Quantile-on-Quantile regression of Sim and Zhou (2015) <doi:10.1016/j.jbankfin.2015.01.013> to include exogenous moderators and controls with optional interaction terms. For each pair of quantile levels (theta of the response and tau of the regressor) the package fits a locally-weighted quantile regression of y on the principal regressor x, a lagged dependent variable, moderators Z and the x*Z interaction terms, using Gaussian kernel weights on the empirical cumulative distribution function (CDF) distance. Bootstrap standard errors and Koenker-Machado pseudo R-squared are reported. Visualisations include 'MATLAB'-style 'Parula' and 'Jet' 3D surfaces, heatmaps and contour plots through 'plotly'.
How to cite:
Merwan Roudane (2026). mqqr: Multivariate Quantile-on-Quantile Regression. R package version 1.0.0, https://cran.r-project.org/web/packages/mqqr. Accessed 24 Oct. 2026.
Previous versions and publish date:
No previous versions
Other packages that cited mqqr R package
View mqqr citation profile
Other R packages that mqqr depends, imports, suggests or enhances
Complete documentation for mqqr
Functions, R codes and Examples using the mqqr R package
Full mqqr package functions and examples
Downloads during the last 30 days

Today's Hot Picks in Authors and Packages

FDRsampsize  
Compute Sample Size that Meets Requirements for Average Power and FDR
Defines a collection of functions to compute average power and sample size for studies that use the ...
Download / Learn more Package Citations See dependency  
climwin  
Climate Window Analysis
Contains functions to detect and visualise periods of climate sensitivity (climate windows) for a g ...
Download / Learn more Package Citations See dependency  
forecastHybrid  
Convenient Functions for Ensemble Time Series Forecasts
Convenient functions for ensemble forecasts in R combining approaches from the 'forecast' package. ...
Download / Learn more Package Citations See dependency  
gemlog  
File Conversion for "Gem Infrasound Logger"
Reads data files from the 'Gem infrasound logger' for analysis and converts to segy format (which is ...
Download / Learn more Package Citations See dependency  
givitiR  
The GiViTI Calibration Test and Belt
Functions to assess the calibration of logistic regression models with the GiViTI (Gruppo Italiano p ...
Download / Learn more Package Citations See dependency  
magicfor  
Magic Functions to Obtain Results from for Loops
Magic functions to obtain results from for loops. ...
Download / Learn more Package Citations See dependency  

29,080

R Packages

247,686

Dependencies

77,281

Author Associations

29,081

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA