Package: mqqr
Type: Package
Title: Multivariate Quantile-on-Quantile Regression
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 m-QQR methodology"),
    person("Nicholas", "Sim", role = "ctb",
           comment = "Original QQ regression methodology"),
    person("Hongtao", "Zhou", role = "ctb",
           comment = "Original QQ regression methodology"))
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'.
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/multiqqr
BugReports: https://github.com/merwanroudane/multiqqr/issues
Config/testthat/edition: 3
NeedsCompilation: no
Packaged: 2026-05-28 12:54:19 UTC; HP
Author: Merwan Roudane [aut, cre, cph],
  Avik Sinha [ctb] (Original m-QQR 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 09:00:26 UTC
