gold_oil

A small example dataset used to illustrate the nonparametric
causality-in-quantiles test.

datasets

Implements the nonparametric causality-in-quantiles test (in mean or variance),
returning a test object with an S3 plot() method. The current implementation uses one lag
of each series (first-order Granger causality setup). Methodology is based on
Balcilar, Gupta, and Pierdzioch (2016a) <doi:10.1016/j.resourpol.2016.04.004> and
Balcilar et al. (2016) <doi:10.1007/s11079-016-9388-x>.

Mehmet Balcilar

nonParQuantileCausality

Nonparametric Causality in Quantiles Test

gold_oil function

A data frame with two numeric columns:<dl>
<dt>Gold</dt>
<dd>numeric: gold series</dd><dt>Oil</dt>
<dd>numeric: oil series</dd>
</dl>

Format

Monthly Gold and Oil Returns — gold_oil

A data frame with two numeric columns:<dl>
<dt>Gold</dt>
<dd>numeric: gold series</dd>

<dt>Oil</dt>
<dd>numeric: oil series</dd>


</dl>

gold_oil: Monthly Gold and Oil Returns

Description

Usage

Arguments

Format

Details