Good evening (in Italy), Someone of you have ever read anything about quantile cointegration?
I want to use the test statistic explained in Chuang et al. (2009), that fundamentally followed the suggestion of Koenker and Machado (1999). This is a Wald test used for quantile cointegration proposed by Xiao (2009). I don't understand well if anova.rq of the package "quantreg" can do it or not. Thank you, Massimo -- View this message in context: http://r.789695.n4.nabble.com/Quantile-Granger-causality-tp4645300.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
