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
--
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.
______________________________________________ R-help at r-project.org mailing list 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.