[R] Quantile Regression - Testing for Non-causalities in quantiles

stefan23 stefan.voigt at uni-konstanz.de
Sat Jul 14 13:55:37 CEST 2012


Dear all,
I am searching for a way to compute a test comparable to Chuang et al.
("Causality in Quantiles and Dynamic Stock
Return-Volume Relations").  The aim of this test is to check wheter the
coefficient of a quantile regression granger-causes Y in a quantile range. I
have nearly computed everything but I am searching for an estimator of the
density of the distribution at several points of the distribution. As the
quantreg-package of Roger Koenker is also able to compute confidence
intervalls for quantile regression (which also contain data concerning the
estimated density) I wanted to ask wether someone could tell me if it is
possible to "extract" the density of the underlying distribution by using
the quantreg package.
I hope my question is not to confusing, thank you very, very much in
adavanve I appreciate every comment=)
Cheers
Stefan

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