Package: mqqcause
Type: Package
Title: Multivariate Quantile-on-Quantile Granger Causality
Version: 1.0.0
Authors@R: c(
    person("Merwan", "Roudane",
           email = "merwanroudane920@gmail.com",
           role = c("aut", "cre", "cph")),
    person("Avik", "Sinha", role = "ctb",
           comment = "Original multivariate QQ causality methodology"),
    person("Nicholas", "Sim", role = "ctb",
           comment = "Original QQ regression methodology"),
    person("Hongtao", "Zhou", role = "ctb",
           comment = "Original QQ regression methodology"))
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.
License: GPL-3
Encoding: UTF-8
RoxygenNote: 7.3.1
Depends: R (>= 3.5.0)
Imports: quantreg (>= 5.0), plotly (>= 4.0.0), stats, utils, grDevices
Suggests: knitr, rmarkdown, testthat (>= 3.0.0)
URL: https://github.com/merwanroudane/qqcaus
BugReports: https://github.com/merwanroudane/qqcaus/issues
Config/testthat/edition: 3
NeedsCompilation: no
Packaged: 2026-05-28 13:02:20 UTC; HP
Author: Merwan Roudane [aut, cre, cph],
  Avik Sinha [ctb] (Original multivariate QQ causality methodology),
  Nicholas Sim [ctb] (Original QQ regression methodology),
  Hongtao Zhou [ctb] (Original QQ regression methodology)
Maintainer: Merwan Roudane <merwanroudane920@gmail.com>
Repository: CRAN
Date/Publication: 2026-06-01 09:00:31 UTC
