This is getting to be a faq -- here is a prior answer:
No, but the objective function can be computed for any fitted
rq object, say f, as
rho - function(u,tau=.5)u*(tau - (u 0))
V - sum(rho(f$resid, f$tau))
so it is easy to roll your own
I don't much like R1, or R2 for that matter, so it isn't likely to
be automatically provided in quantreg any time soon.
url:www.econ.uiuc.edu/~rogerRoger Koenker
email[EMAIL PROTECTED]Department of Economics
vox: 217-333-4558University of Illinois
fax: 217-244-6678Champaign, IL 61820
On Aug 1, 2006, at 11:46 AM, [EMAIL PROTECTED] wrote:
Dear R Users,
Did someone implemented the R1 (Pseudo R-2) and likelihood ratio
statistics for quantile regressions, which are some of the inference
procedures for quantile regression
found in Koenker and Machado (1999)?
I tried the Ox version, but my dataset is too large ( 50.000) and the
algorith breaks.
Ricardo Gonçalves Silva, M. Sc.
Apoio aos Processos de Modelagem Matemática
Econometria Inadimplência
Serasa S.A.
(11) - 6847-8889
[EMAIL PROTECTED]
**
As informações contidas nesta mensagem e no(s) arquivo(s...{{dropped}}
__
R-help@stat.math.ethz.ch 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@stat.math.ethz.ch 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.
