nonParQuantileCausality

nonParQuantileCausality-package

Tools for nonparametric causality-in-quantiles tests (mean and variance)
with an S3 plot method and an example dataset.

internal

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

Nonparametric Causality in Quantiles Test

nonParQuantileCausality-package function

The current implementation uses one lag of each series (first-order Granger setup).

Lag order (important)

Maintainer: Mehmet Balcilar <a href="/link/mehmet%40mbalcilar.net?package=nonParQuantileCausality&version=0.1.0" data-mini-rdoc="nonParQuantileCausality::mehmet@mbalcilar.net">mehmet@mbalcilar.net</a>

Author

nonParQuantileCausality: Nonparametric Causality in Quantiles — nonParQuantileCausality-package

The current implementation uses one lag of each series (first-order Granger setup).

Maintainer: Mehmet Balcilar <a href='mailto:mehmet@mbalcilar.net'>mehmet@mbalcilar.net</a>

nonParQuantileCausality-package: nonParQuantileCausality: Nonparametric Causality in Quantiles

Description

Arguments

Lag order (important)

Author

References

See Also