Hi Martin, Efferz, Martin <efferz <at> finance.uni-mainz.de> writes:
> > Hi, > > how to measure the goodness of fit, when using the rq() function of quantreg? I need something like an R^2 for > quantile regression, a single number which tells me if the fit of the whole quantile process (not only for a > single quantile) is o.k. or not. > Is it possible to compare the (conditional) quantile process with the (unconditional) empirical > distribution function? Perhaps with a Chi^2 or Kolmogorv-Smirnov Test? > > Thanks for feedback. > > Martin Please see: http://www.econ.uiuc.edu/~roger/research/rq/rq.html Anupam. ______________________________________________ [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.
