Implements Multivariate Quantile-on-Quantile Regression (m-QQR) of Sinha, Ghosh, Hussain, Nguyen and Das (2023) <doi:10.1016/j.eneco.2023.107021>, extending the bivariate Quantile-on-Quantile regression of Sim and Zhou (2015) <doi:10.1016/j.jbankfin.2015.01.013> to include exogenous moderators and controls with optional interaction terms. For each pair of quantile levels (theta of the response and tau of the regressor) the package fits a locally-weighted quantile regression of y on the principal regressor x, a lagged dependent variable, moderators Z and the x*Z interaction terms, using Gaussian kernel weights on the empirical cumulative distribution function (CDF) distance. Bootstrap standard errors and Koenker-Machado pseudo R-squared are reported. Visualisations include 'MATLAB'-style 'Parula' and 'Jet' 3D surfaces, heatmaps and contour plots through 'plotly'.
| Version: | 1.0.0 |
| Depends: | R (≥ 3.5.0) |
| Imports: | quantreg (≥ 5.0), plotly (≥ 4.0.0), stats, utils, grDevices |
| Suggests: | knitr, rmarkdown, testthat (≥ 3.0.0) |
| Published: | 2026-06-01 |
| DOI: | 10.32614/CRAN.package.mqqr |
| Author: | Merwan Roudane [aut, cre, cph], Avik Sinha [ctb] (Original m-QQR methodology), Nicholas Sim [ctb] (Original QQ regression methodology), Hongtao Zhou [ctb] (Original QQ regression methodology) |
| Maintainer: | Merwan Roudane <merwanroudane920 at gmail.com> |
| BugReports: | https://github.com/merwanroudane/multiqqr/issues |
| License: | GPL-3 |
| URL: | https://github.com/merwanroudane/multiqqr |
| NeedsCompilation: | no |
| Citation: | mqqr citation info |
| Materials: | NEWS |
| CRAN checks: | mqqr results |
| Reference manual: | mqqr.html , mqqr.pdf |
| Package source: | mqqr_1.0.0.tar.gz |
| Windows binaries: | r-devel: mqqr_1.0.0.zip, r-release: mqqr_1.0.0.zip, r-oldrel: mqqr_1.0.0.zip |
| macOS binaries: | r-release (arm64): mqqr_1.0.0.tgz, r-oldrel (arm64): mqqr_1.0.0.tgz, r-release (x86_64): mqqr_1.0.0.tgz, r-oldrel (x86_64): mqqr_1.0.0.tgz |
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