QVAR function

Quantile vector autoregression

Estimation of a QVAR using equation-by-equation quantile regressions.

QVAR(x, configuration = list(nlag = 1, tau = 0.5, method = "fn"))

Arguments

• x: zoo data matrix
• configuration: model configuration
• nlag: Lag length
• tau: quantile between 0 and 1
• method: See methods for rq in quantreg package. Default is "fn".

Returns

Estimate QVAR model

Examples

data("dy2012")
fit = QVAR(dy2012, configuration=list(nlag=1, tau=0.5))

References

White, H., Kim, T. H., & Manganelli, S. (2015). VAR for VaR: Measuring tail dependence using multivariate regression quantiles. Journal of Econometrics, 187(1), 169-188.

Chatziantoniou, I., Gabauer, D., & Stenfors, A. (2021). Interest rate swaps and the transmission mechanism of monetary policy: A quantile connectedness approach. Economics Letters, 204, 109891.

Author(s)

David Gabauer