Roger, It's nice to see a reply from the leader in quantile regression. I wonder if I might ask a somewhat unrelated question. A few recent papers have developed ways to force quantile regression curves not to cross. Do you have plans to implement this capability in quantreg?
Thanks very much for developing such a fantastic package. Frank Roger Koenker-3 wrote: > > Roger Koenker > rkoenker@ > > > > > 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: dwinsemius@ >>> Date: Sat, 5 Nov 2011 13:42:34 -0400 >>> To: f.harrell@ >>> CC: r-help@ >>> 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 >>> <f.harrell@> 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. >>>> >>>> ______________________________________________ >>>> 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. >>> >>> ______________________________________________ >>> 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. >> >> [[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. > > ______________________________________________ > 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-tp3993327p3995819.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.
