Quantile Regression - Testing for Non-causalities in quantiles

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Quantile Regression - Testing for Non-causalities in quantiles

stefan23
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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Re: Quantile Regression - Testing for Non-causalities in quantiles

Roger Koenker-3
Take a look at demo(Mel) in the quantreg package.

Roger Koenker
[hidden email]




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
>
> --
> View this message in context: http://r.789695.n4.nabble.com/Quantile-Regression-Testing-for-Non-causalities-in-quantiles-tp4636511.html
> Sent from the R help mailing list archive at Nabble.com.
>
> ______________________________________________
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> 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.

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and provide commented, minimal, self-contained, reproducible code.