I am trying to apply Gabauer's Quantile Connectedness Approach (original code copied from here: Interest rate swaps and the transmission mechanism of monetary policy: A quantile connectedness approach).
Here is the code:
nlag = 1
tau = 0.5
nfore = 100
corrected = TRUE
window.size = 100
data(com) #com is my zoo data object
dca = ConnectednessApproach(com,
I am getting the following error:
"Error in rq.fit.br(x, y, tau = tau, ...) : Singular design matrix
In addition: There were 50 or more warnings (use warnings() to see the first 50)"
Any comments/suggestions are much appreciated! Thanks!