Roger Koenker
[email protected]
On Nov 5, 2011, at 1:02 PM, Julia Lira wrote:
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.
Probably because the models aren't nested...
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.
______________________________________________
[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.
