In quantreg if you do FAQ()
item 4 is: 4. [R^2] "I am currently trying to caculate the coefficient of determination for different quantile regression models. For example, how do you calculate the the sum of the weighted absolute deviations in the models ..." R-squared is evil, that is why there isn't an automated way to compute something similar for quantile regression in the quantreg package. But if you insist use: R1 <- 1 - f1$rho/f0$rho Provided that f0 is nested within f1 and the taus are the same, 0 <= R1 <= 1. If you want to test f1 vs f0 then use anova(f1,f0) For further details see: Koenker R. and Jose A.F. Machado. Goodness of Fit and Related Inference Processes for Quantile Regression J. of Am Stat. Assoc, (1999), 94, 1296-1310. url: www.econ.uiuc.edu/~roger Roger Koenker email rkoen...@uiuc.edu Department of Economics vox: 217-333-4558 University of Illinois fax: 217-244-6678 Urbana, IL 61801 On Apr 22, 2013, at 2:59 AM, nafiseh hagiaghamohammadi wrote: > Hi > Does anyone know if there is a method to calculate a goodness-of-fit > statistic for quantile regressions with package quantreg? > > Tanks > > [[alternative HTML version deleted]] > > ______________________________________________ > R-help@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. ______________________________________________ R-help@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.