I've used the function rq.fit.sfn and rq.fit.panel to estimate a quantile regression on a panel data set.Now I would like to compute an statistic to measure the goodness of fit of this model (T-statistics and P-value ).
Does someone know how could I do that? For formal inference you are better off using rqss() in the quantreg package, but beware that formal inference for shrinkage estimators is still an active research topic. For goodness of fit statistics like the usual regression R^2, see FAQ() item 4 in the quantreg package. url: www.econ.uiuc.edu/~roger Roger Koenker email [email protected] Department of Economics vox: 217-333-4558 University of Illinois fax: 217-244-6678 Urbana, IL 61801 -- View this message in context: http://r.789695.n4.nabble.com/Question-of-Quantile-Regression-for-Longitudinal-Data-tp883458p2999206.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ [email protected] 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.
