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

[Roger Koenker]

Take a look at demo(Mel) in the quantreg package.

Roger Koenker
rkoenker at illinois.edu




On Jul 14, 2012, at 6:55 AM, stefan23 wrote:

> 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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