Dear David, Indeed rq() accepts a vector fo tau. I used the example given by Frank to run
fitspl4 <- summary(rq(b1 ~ rcs(x,4), tau=c(a1,a2,a3,a4))) and it works. I even can use anova() to test equality of slopes jointly across quantiles. however, it would be interesting to test among different specifications, e.g. rcs(x,4) against rcs(x,3). but it does not work. Thanks for all suggestions! Julia > From: [email protected] > Date: Sat, 5 Nov 2011 13:42:34 -0400 > To: [email protected] > CC: [email protected] > Subject: Re: [R] linear against nonlinear alternatives - quantile regression > > I suppose this constitutes thread drift, but your simple example, Frank, made > wonder if Rq() accepts a vector argument for tau. I seem to remember that > Koencker's rq() does.. Normally I would consult the help page, but the power > is still out here in Central Connecticut and I am corresponding with a less > capable device. I am guessing that if Rq() does accept such a vector that the > form of the nonlinearity would be imposed at all levels of tau. > > -- > David > > On Nov 5, 2011, at 10:43 AM, Frank Harrell <[email protected]> wrote: > > > Just to address a piece of this - in the case in which you are currently > > focusing on only one quantile, the rms package can help by fitting > > restricted cubic splines for covariate effects, and then run anova to test > > for nonlinearity (sometimes a dubious practice because if you then remove > > nonlinear terms you are mildly cheating). > > > > require(rms) > > f <- Rq(y ~ x1 + rcs(x2,4), tau=.25) > > anova(f) # tests associations and nonlinearity of x2 > > > > Frank > > > > Julia Lira wrote: > >> > >> Dear all, > >> > >> I would like to know whether any specification test for linear against > >> nonlinear model hypothesis has been implemented in R using the quantreg > >> package. > >> > >> I could read papers concerning this issue, but they haven't been > >> implemented at R. As far as I know, we only have two specification tests > >> in this line: anova.rq and Khmaladze.test. The first one test equality and > >> significance of the slopes across quantiles and the latter one test if the > >> linear specification is model of location or location and scale shift. > >> > >> Do you have any suggestion? > >> > >> Thanks a lot! > >> > >> Best regards, > >> > >> Julia > >> > >> [[alternative HTML version deleted]] > >> > >> ______________________________________________ > >> R-help@ 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. > >> > > > > > > ----- > > Frank Harrell > > Department of Biostatistics, Vanderbilt University > > -- > > View this message in context: > > http://r.789695.n4.nabble.com/linear-against-nonlinear-alternatives-quantile-regression-tp3993327p3993416.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. > > ______________________________________________ > [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. [[alternative HTML version deleted]] ______________________________________________ [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.
