[R] Quantile Granger causality

[Massimo Schiavo]

Good evening (in Italy),

Someone of you have ever read anything about quantile cointegration? 

I want to use the test statistic explained in Chuang et al. (2009), that
fundamentally followed the suggestion of Koenker and Machado (1999). This is
a Wald test used for quantile cointegration proposed by Xiao (2009). I don't
understand well if anova.rq  of the package "quantreg" can do it or not. 

Thank you,
Massimo



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