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 -- View this message in context: http://r.789695.n4.nabble.com/Quantile-Granger-causality-tp4645300.html Sent from the R help mailing list archive at Nabble.com.