Dear all,
I need to extract the covariance matrix of my quantile regression estimation to
use in a test. My regression is:
qf2_1 <- summary(rq(wb2 ~ apv2 + vol2, tau = phi2[1]), cov = TRUE)
I can extract the covaraince matrix by using: qf2_1 [3]. However, if I try to
use it in the test, it does not work. I only need to transform qf2_1[3] in a
matrix 3x3. I have already tried: matrix(qf2_1[3], nrow=3, ncol=3) but it also
does not work. By using the latter, I find:
[,1] [,2] [,3]
[1,] Numeric,9 Numeric,9 Numeric,9
[2,] Numeric,9 Numeric,9 Numeric,9
[3,] Numeric,9 Numeric,9 Numeric,9
Is there any other way to do it?
Thanks a lot in advance!
All the best,
Julia
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