[R] Quantile regression with some parameters fixed across tau..

Hi, I would like to fit the following model with quantile regression: y ~ alpha + beta where both alpha and beta are factors. The conceptual model I have in my head is that alpha is a constant set of values, that should be independent of the quantile, tau and that all of the variability arises

[R] quantile regression: error terms

Greetings R Community, I am running quantile regressions using quantreg in R. I also plot the residuals in a QQplot which indicate fat tails. I would like to try using Student distribution, but I do not know if the R software allows it for my task in hand. In my opinion it is very likely that

[R] quantile regression: warning message

Greetings R Community, I am trying to run a quantile regression using the quantreg package. My code looks as follows: RegressionUtilitiesUK<-rq(ReturnUtilities~yield.spread.change+ReturnFTSE, tau=0.01,data=State_variables_UK_calm) Unfortunately, the summary() function returns the results but

Re: [R] quantile regression: warning message

see the output from the quantreg FAQ: FAQ() especially point 2. url:www.econ.uiuc.edu/~rogerRoger Koenker emailrkoen...@uiuc.eduDepartment of Economics vox: 217-333-4558University of Illinois fax: 217-244-6678

Re: [R] quantile regression: warning message

: R-help@r-project.org Subject: Re: [R] quantile regression: warning message see the output from the quantreg FAQ: FAQ() especially point 2. url:www.econ.uiuc.edu/~rogerRoger Koenker emailrkoen...@uiuc.eduDepartment of Economics vox: 217-333-4558

Re: [R] Quantile Regression without intercept

elfare state, so 0 income implies 0 expenditure, then all (quantile) Engel curves pass through the origin and one might want to impose this. On the other hand maybe not... > From: Roger Koenker > Sent: ‎06-‎10-‎2015 07:09 PM > To: Lorenz, David > Cc: r-help@r-project.org > Sub

Re: [R] Quantile Regression without intercept

; <lor...@usgs.gov> Cc: "r-help@r-project.org" <r-help@r-project.org> Subject: Re: [R] Quantile Regression without intercept > On Oct 6, 2015, at 8:32 AM, Lorenz, David <lor...@usgs.gov> wrote: > > Thanks for the details, I suspected something like that. &g

Re: [R] Quantile Regression without intercept

ion to ensure that. > > > > > > > >> Date: Mon, 5 Oct 2015 21:14:04 +0530 > >> From: Preetam Pal <lordpree...@gmail.com> > >> To: stephen sefick <ssef...@gmail.com> > >> Cc: "r-help@r-project.org" <r-help@r-project.org>

Re: [R] Quantile Regression without intercept

to ensure that. > > > > > > > >> Date: Mon, 5 Oct 2015 21:14:04 +0530 > >> From: Preetam Pal <lordpree...@gmail.com> > >> To: stephen sefick <ssef...@gmail.com> > >> Cc: "r-help@r-project.org" <r-help@r-project.org> >

Re: [R] Quantile Regression without intercept

To wit: > y <- rnorm(100, 10) > x <- 1:100 > sum(resid(lm(y~x))) [1] 1.047773e-15 > sum(resid(lm(y~x-1))) [1] 243.0583 and replicating this should convince you that the mean residual really is not zero in the severely misspecified model with no intercept. (This has to do with the fact that

Re: [R] Quantile Regression without intercept

:04 +0530 > From: Preetam Pal <lordpree...@gmail.com> > To: stephen sefick <ssef...@gmail.com> > Cc: "r-help@r-project.org" <r-help@r-project.org> > Subject: Re: [R] Quantile Regression without intercept > Message-ID: <56129a41.025f440a.b1cf4.f...@m

Re: [R] Quantile Regression without intercept

+0530 >> From: Preetam Pal <lordpree...@gmail.com> >> To: stephen sefick <ssef...@gmail.com> >> Cc: "r-help@r-project.org" <r-help@r-project.org> >> Subject: Re: [R] Quantile Regression without intercept >> Message-ID: <56129a41.025f440

[R] Quantile Regression without intercept

Hi guys, Can you instruct me please how to run quantile regression without the intercept term? I only know about the rq function under quantreg package, but it automatically uses an intercept model. Icant change that, it seems. I have numeric data on Y variable (Gdp) and 2 X variables (Hpa

Re: [R] Quantile Regression without intercept

as for lm() or any other linear model fitting…. rq( y ~ x - 1, … ) url:www.econ.uiuc.edu/~rogerRoger Koenker emailrkoen...@uiuc.eduDepartment of Economics vox: 217-333-4558University of Illinois fax: 217-244-6678

Re: [R] Quantile Regression without intercept

I have never used this, but does the formula interface work like lm? Y~X-1? On Mon, Oct 5, 2015 at 10:27 AM, Preetam Pal wrote: > Hi guys, > > Can you instruct me please how to run quantile regression without the > intercept term? I only know about the rq function under

Re: [R] Quantile Regression without intercept

Yes..it works. Thanks  -Original Message- From: "stephen sefick" <ssef...@gmail.com> Sent: ‎05-‎10-‎2015 09:01 PM To: "Preetam Pal" <lordpree...@gmail.com> Cc: "r-help@r-project.org" <r-help@r-project.org> Subject: Re: [R] Quantile

[R] Quantile regression interval prediction

Hi all,I would like to know how to predict a new y value and its confidence interval for the prediction given a new observation x when using a linear(or non-linear) quantile regression model.How it is possible to transform the confidence prediction in to an interval prediction? Is it correct to

Re: [R] Quantile regression model with nonparametric effect and interaction

The main effect trend seems rather dangerous, why not just estimate the f’s in a loop? url:www.econ.uiuc.edu/~rogerRoger Koenker emailrkoen...@uiuc.eduDepartment of Economics vox: 217-333-4558University of Illinois fax: 217-244-6678

[R] Quantile regression model with nonparametric effect and interaction

Dear all, I would like to estimate a quantile regression model including a bivariate nonparametric term which should be interacted with a dummy variable, i.e., log p ~ year + f(a,b):year. I tried to use Roger Koenker's quantreg package and the functions rqss and qss but it turns out that

Re: [R] Quantile regression model with nonparametric effect and interaction

therefore does not really help... -Original Message- From: Roger Koenker [mailto:rkoen...@illinois.edu] Sent: Donnerstag, 11. Juni 2015 15:33 To: Waltl, Sofie (sofie.wa...@uni-graz.at) Cc: r-help@r-project.org Subject: Re: [R] Quantile regression model with nonparametric effect

[R] quantile regression with complex survey data

Dear r Users, I am new in r. I am trying to estimate regression quantiles in complex surveys.I used these commands. mydesign -svydesign(ids=~IDSCHOOL,strata=~IDSTRATE,data=TUNISIA,nest=TRUE,weights=~TOTWGT) bootdesign - as.svrepdesign(mydesign,type=auto,replicates=150)

Re: [R] Quantile Regression/(package (quantreg))

Mike, Do something like: require(rms) dd - datadist(mydatarame); options(datadist='dd') f - Rq(y ~ rcs(age,4)*sex, tau=.5) # use rq function in quantreg summary(f) # inter-quartile-range differences in medians of y (b/c tau=.5) plot(Predict(f, age, sex)) # show age effect on median as a

[R] Quantile regression for binary choice and heckit

Hallo. Is there any package / code snippet to estimate quantile regression for a binary choice model (like probit) and selection model (like heckit)? I found that quantreg package can estimate tobit-like model, but I can't figure out how to tweak it for probit / heckit. Best wishes, Michal

Re: [R] Quantile regression for binary choice and heckit

This is a bit like asking how should I tweak my sailboat so I can explore the ocean floor. url:www.econ.uiuc.edu/~rogerRoger Koenker emailrkoen...@uiuc.eduDepartment of Economics vox: 217-333-4558University of Illinois fax: 217-244-6678

Re: [R] quantile regression using copulas

Please note: 1) your example is not working in the way you provided it (see http://www.minimalbeispiel.de/mini-en.html) 2) you receive a warning, not an error 3) I'd try and debug qua.regressCOP2 to see why the warning appears 4) in case 3) does not help, contact the maintainer of copBasic

Re: [R] quantile regression using copulas

Hi Marius, I have tried debugging the qua.regressCOP2 function. The error I'am getting is: Error in cop(u, v + delv, ...) : unused argument(s) (v + delv). Unable to decipher it. And have mailed to william.asquith at ttu.edu. Thanks indu -- View this message in context:

[R] quantile regression using copulas

Hi all, Has anyone used the qua.regressCOP2 function from the copBasic package??? The default copula function used in this function is plackett copula and I wanted to use archimedean copula. Attached below is my code: mycop-frankCopula V=seq(0.001,0.99,by=0.000217)

[R] Quantile regression with large number of fixed effects

Dear R users, I am trying to estimate a median regression with fixed effects. I have an unbalanced panel data set with 5,000 individuals and 10 years, resulting in a total of 20,000 observations. When I try to add individual (firmid) fixed effects to the quantile regression using the

[R] Quantile regression questions

Hi, everyone. I have some questions about quantile regression in R. I am running an additive quantile regression first for a complete matrix and then with some selected rows. I am doing the following: datos -read.table(Regresion multiple.txt,header=T) Fit-rqss(datos$campings

Re: [R] Quantile Regression - Testing for Non-causalities in quantiles

Take a look at demo(Mel) in the quantreg package. Roger Koenker rkoen...@illinois.edu On Jul 14, 2012, at 6:55 AM, stefan23 wrote: Dear all, I am searching for a way to compute a test comparable to Chuang et al. (Causality in Quantiles and Dynamic Stock Return-Volume Relations). The aim

[R] Quantile Regression - Testing for Non-causalities in quantiles

Dear all, I am searching for a way to compute a test comparable to Chuang et al. (Causality in Quantiles and Dynamic Stock Return-Volume Relations). The aim of this test is to check wheter the coefficient of a quantile regression granger-causes Y in a quantile range. I have nearly computed

[R] Quantile regression: Discrepencies Between optimizer and rq()

Hello Everyone, I'm currently learning about quantile regressions. I've been using an optimizer to compare with the rq() command for quantile regression. When I run the code, the results show that my coefficients are consistent with rq(), but the intercept term can vary by a lot. I don't

Re: [R] Quantile regression: Discrepencies Between optimizer and rq()

Optim() by default is using Nelder-Mead which is an extremely poor way to do linear programming, despite the fact that ?optim says that: It will work reasonably well for non-differentiable functions.I didn't check your coding of the objective function fully, but at the very least you

[R] quantile regression: out of memory error

Hello, I’m wondering if anyone can offer advice on the out-of-memory error I’m getting. I’m using R2.12.2 on Windows XP, Platform: i386-pc-mingw32/i386 (32-bit). I am using the quantreg package, trying to perform a quantile regression on a dataframe that has 11,254 rows and 5 columns.

Re: [R] quantile regression: out of memory error

Koenker [mailto:rkoen...@uiuc.edu] Sent: Monday, July 11, 2011 12:48 PM To: Prew, Paul Cc: r-help@r-project.org help Subject: Re: [R] quantile regression: out of memory error Paul, Yours is NOT a large problem, but it becomes a large problem when you ask for ALL the distinct QR solutions

Re: [R] quantile regression: out of memory error

Paul, Yours is NOT a large problem, but it becomes a large problem when you ask for ALL the distinct QR solutions by specifying tau = -1. You probably don't want to see all these solutions, I suspect that only tau = 1:19/20 or so would suffice. Try this, and see how it goes. Roger url:

Re: [R] quantile regression: out of memory error

. Geological Survey Fort Collins Science Center 2150 Centre Ave., Bldg. C Fort Collins, CO 80526-8818 email: brian_c...@usgs.gov tel: 970 226-9326 From: Prew, Paul paul.p...@ecolab.com To: r-help@R-project.org r-help@r-project.org Date: 07/11/2011 11:42 AM Subject: [R] quantile regression: out of memory

Re: [R] Quantile Regression and R

Pls disregard...I have it figured out. Thank you. Regards, Peter D. Sheldrick Hartford Financial Services Group _ From: Sheldrick, Peter (Specialty Casualty UW Support) Sent: Friday, April 08, 2011 9:53 AM To:

[R] Quantile Regression and R

Sir or Madam: I am new to R and the use of quantile regeression. In addition, I am a finance person not a true statistcian. Basic regression form is Y = (Coefficient * Variable) + Error Term I have results from a quantile regression where I used the Barro and Roberts method with bootstrapping

Re: [R] Quantile Regression and R

Dear Peter, Quantile regression is a nice tool but one that requires some statistical training in order to use it and interpret the results properly. I suggest backing up a bit. Frank Sheldrick, Peter (Specialty Casualty UW Support) wrote: Sir or Madam: I am new to R and the use

Re: [R] Quantile regression (rq) and complex samples

You could use the survey package to run the bootstrapping, if you mean the Rao Wu bootstrap that samples n-1 of n PSUs in each replicate. Set up a survey design object with bootstrap replicate weights: use svrepdesign() if you already have replicate weights, use svydesign() and then

[R] Quantile regression (rq) and complex samples

I am new to R and am interested in using the program to fit quantile regression models to data collected from a multi-stage probability sample of the US population. The quantile regression package, rq, can accommodate person weights. However, it is not clear to me that boot.rq is appropriate for

[R] Quantile Regression: Extracting Residuals

Dear R users Is there a way to obtain the residuals from a model fitted by quantile regression? Thank you. Thanaset -- View this message in context: http://r.789695.n4.nabble.com/Quantile-Regression-Extracting-Residuals-tp3225423p3225423.html Sent from the R help mailing list archive at

Re: [R] Quantile Regression: Extracting Residuals

-4480 Is the room still a room when its empty? Does the room, the thing itself have purpose? Or do we, what's the word... imbue it. - Jubal Early, Firefly r-help-boun...@r-project.org wrote on 01/19/2011 11:30:49 AM: [image removed] [R] Quantile Regression: Extracting Residuals Thanaset

[R] quantile regression

Dear all, I am a new user in r and I am facing some problems with the quantile regression specification. I have two matrix (mresultb and mresultx) with nrow=1000 and ncol=nsim, where I specify (let's say) nsim=10. Hence, the columns in my matrix represents each simulation of a determined

Re: [R] quantile regression

in the code: qf05 - rq(formula = mresultb[,i] ~ mresultx[,i], tau=0.5) because it is just generating the coefficients for one simulation, not for 10 simulations. best, Julia Date: Thu, 7 Oct 2010 18:51:40 +0800 Subject: Re: [R] quantile regression From: minhua...@gmail.com To: julia.l

Re: [R] quantile regression

. You could also look at removing the loop by vectorising the code. Hope this helps Martyn -Original Message- From: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] On Behalf Of Julia Lira Sent: 07 October 2010 11:40 To: r-help@r-project.org Subject: [R] quantile

Re: [R] quantile regression

On Oct 7, 2010, at 6:40 AM, Julia Lira wrote: Dear all, I am a new user in r and I am facing some problems with the quantile regression specification. I have two matrix (mresultb and mresultx) with nrow=1000 and ncol=nsim, where I specify (let's say) nsim=10. Hence, the columns in my

Re: [R] quantile regression

at removing the loop by vectorising the code. Hope this helps Martyn -Original Message- From: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] On Behalf Of Julia Lira Sent: 07 October 2010 11:40 To: r-help@r-project.org Subject: [R] quantile regression Dear all

Re: [R] quantile regression

Thank you all for the explanation! Best, Julia Date: Thu, 7 Oct 2010 22:37:32 +1100 Subject: Re: [R] quantile regression From: michael.bedw...@gmail.com To: martyn.b...@nag.co.uk CC: julia.l...@hotmail.co.uk; r-help@r-project.org Hi Julia, In addition to Martyn's answer

[R] Quantile Regression and Goodness of Fit

All - Does anyone know if there is a method to calculate a goodness-of-fit statistic for quantile regressions with package quantreg? Specifically, I'm wondering if anyone has implemented the goodness-of-fit process developed by Koenker and Machado (1999) for R? Though I have used package

Re: [R] Quantile Regression and Goodness of Fit

http://www.econ.uiuc.edu/~roger/research/R1/R1.html On Mon, Aug 23, 2010 at 2:15 PM, Steven Ranney steven.ran...@montana.eduwrote: All - Does anyone know if there is a method to calculate a goodness-of-fit statistic for quantile regressions with package quantreg? Specifically, I'm

[R] Quantile regression - violation of independence

I am trying to perform quantile regression (using quantreg package) and I am particularly interested to know whether the technique requires independence of observations. I am an ecologist and, in particular, I collected data of abundance of a species in 15 location around an island. In each

Re: [R] Quantile regression - violation of independence

-help-boun...@r-project.org] On Behalf Of Valeriano Parravicini Sent: Monday, May 17, 2010 10:59 AM To: r-help@r-project.org Subject: [R] Quantile regression - violation of independence I am trying to perform quantile regression (using quantreg package) and I am particularly interested to know

Re: [R] Quantile Regression fixed effects model

Dear R-users, I am applying professor Koenker's code for fixed effect quantile regression. However, I need to bootstrap and cluster the standard errors in my fitted model. Assuming that I need to bootstrap then cluster the standard errors by s (the strata indicator in Prof. Koenker's code),

Re: [R] Quantile Regression for Longitudinal Data. Warning message: In rq.fit.sfn

Dear Dimitris, I have exactly the same problem than you, Do you get some solution? Thanks, Lola Lola Gadea Profesora titular de Economía Aplicada/Lecturer in Applied Economics Universidad de Zaragoza/University of Zaragoza (Spain) lga...@unizar.es

[R] quantile regression using SemiPar package

Hi everyone: I want to fit the truncated polynomial smoothing to the quantiles instead of means, does someone know how to do it? I am thinking that maybe I can use SemiPar package, but can not find how. Thanks so many, Suyan __

[R] Quantile Regression for longitudinal data

Hi all, does anybody know about R implementations for quantile regression for longitudinal data? I am just aware of a very basic version of R. Koenker's approach using fixed effects. Thanks in advance Armin __ R-help@r-project.org mailing list

[R] Quantile Regression fixed effects model

Dear R users, I am trying to estimate a fixed effect quantile regression for different quantiles. As Dr. Koenker mention on his article (2004) the model should be estimated simultaneously so it is going to have the same fixed effects for all quantiles. The problem is that when I am using the

Re: [R] Quantile Regression fixed effects model

see: http://www.econ.uiuc.edu/~roger/research/panel/rq.fit.panel.R url:www.econ.uiuc.edu/~rogerRoger Koenker email[EMAIL PROTECTED]Department of Economics vox: 217-333-4558University of Illinois fax: 217-244-6678

[R] Quantile Regression for Longitudinal Data:error message

Quantile Regression for Longitudinal Data. Hi, I am trying to estimate a quantile regression using panel data. I am trying to use the model that is described in Dr. Koenker's article. So I use the code the that is posted in the following link:

Re: [R] Quantile Regression for Longitudinal Data:error message

If you are going to insist on doing such things you will have to learn to read the documentation. In this case if you do a traceback() you will see that the error is occurring in rq.fit.slm and when you do ?rq.fit.slm you will see that there are several storage sizes that can

[R] Quantile Regression for Longitudinal Data. Warning message: In rq.fit.sfn

Hi, I am trying to estimate a quantile regression using panel data. I am trying to use the model that is described in Dr. Koenker's article. So I use the code the that is posted in the following link: http://www.econ.uiuc.edu/~roger/research/panel/rq.fit.panel.R While this code run perfectly,

Re: [R] Quantile Regression for Longitudinal Data. Warning message: In rq.fit.sfn

This is a little esoteric for R-help. As the posting guide says, you should write the package maintainer with this sort of question. Without the data it is difficult to judge what is happening, a couple of possibilities are: o all is well and warning just conveys an exaggerated

[R] quantile regression: plotting coefficients on only one variable (rq)

Dear all. I have a question on plotting the coefficients from a series of mutivariate quantile regressions. The following code plots the coefficients for each RHS variable x1 and x2. Is there a way to plot only the coefficients on x1? In the data I am using, I have a large number of fixed

Re: [R] quantile regression: plotting coefficients on only one variable (rq)

Hi Michael, It's in the manual: ?plot.summary.rqs plot(summary(rq(..., tau=c(...)), parm = x1, ...) Regards, Mark. Michael Faye wrote: Dear all. I have a question on plotting the coefficients from a series of mutivariate quantile regressions. The following code plots the

[R] quantile regression / problems calling nlrq from inside other functions

All, This worked: mBW - function( ... ) ... # matrix-valued function BaconWatts - function(formula, mmf=mBW,# model matrix function(x, bp, g) data, plot=T, tau=0.5 ) { ... m.nl - nlrq(y ~ b0 + mBW(x,bp,g) %*% c(b1,b2), tau=tau,

Re: [R] Quantile regression with complex survey data

2150 Centre Ave., Bldg. C Fort Collins, CO 80526-8818 email: [EMAIL PROTECTED] tel: 970 226-9326 Stas Kolenikov [EMAIL PROTECTED] Sent by: [EMAIL PROTECTED] 08/20/2008 01:14 PM To Cheng, Yiling (CDC/CCHP/NCCDPHP) [EMAIL PROTECTED] cc r-help@r-project.org Subject Re: [R] Quantile regression

Re: [R] Quantile regression with complex survey data

You can get point estimates by supplying the sampling weights as weights to the quantile regression functions in Roger Koenker's quantreg package. This is useful for smoothing (with the rqss() function; it is not clear how useful it is for straight line regression. You should get valid

[R] quantile regression - estimation of CAViaR

Mr./Ms. Thank your help I need the code of quantile regression - estimation of CAViaR, would do you like to help me! regards, tangyong school of managemnet ,fuzhou university, China [[alternative HTML version deleted]]

[R] Quantile regression with complex survey data

Dear there, I am working on the NHANES survey data, and want to apply quantile regression on these complex survey data. Does anyone know how to do this? Thank you in advance, Yiling Cheng Yiling J. Cheng MD, PhD Epidemiologist CoCHP, Division of Diabetes Translation Centers for Disease Control

[R] Quantile regression with complex survey data

Dear there, I am working on the NHANES survey data, and want to apply quantile regression on these complex survey data. Does anyone know how to do this? Thank you in advance, Yiling Cheng Yiling J. Cheng MD, PhD Epidemiologist CoCHP, Division of Diabetes Translation Centers for

Re: [R] Quantile regression with complex survey data

On Wed, Aug 20, 2008 at 8:12 AM, Cheng, Yiling (CDC/CCHP/NCCDPHP) [EMAIL PROTECTED] wrote: I am working on the NHANES survey data, and want to apply quantile regression on these complex survey data. Does anyone know how to do this? There are no references in technical literature (thinking,

Re: [R] quantile regression estimation results

The canonical answer is: It is R, so everything is possible. Sounds like you need to read what is produced by ?summary.rq carefully. url:www.econ.uiuc.edu/~rogerRoger Koenker email [EMAIL PROTECTED] Department of Economics vox:

[R] Quantile Regression R squared

Dear R, I am currently trying to caculate the coefficient of determination for different quantile regression models. For example fit-rq(Hrubra~SessileInvertebrates,tau=0.8, data=Q1) fit1-rq(Hrubra~SessileInvertebrates,tau=0.8, data=Q2) etc Could someone please advise me how do you calculate

Re: [R] Quantile regression

I am trying to perform quantile regression analysis to analyse my work. I could install the R package in windows xp. Now I am struggling for the next work.I have *marks of students at the university examinations*( say response variable Y) and their *entrance examination marks* ( Independent

[R] Quantile regression

Dear friends , I am trying to perform quantile regression analysis to analyse my work. I could install the R package in windows xp. Now I am struggling for the next work.I have *marks of students at the university examinations*( say response variable Y) and their *entrance examination marks* (

[R] Quantile Regression Question

Hi, Could you please explain what is non-positive fis error? I have been trying to use quantile regression (rq) procedure and I keep ending up with this error. I haven't been able to find an explanation for the same. Best Regards, Arti Arti Mann Ph.D. Student Department of Information Systems

Re: [R] Quantile Regression Question

Package questions to package maintainers please. non-positive fis is not an error, it is a warning -- if the number of negative fis is large relative to the sample size then there is some reason to doubt the plausibility of the specification of the model specified by the rq formula.