He folks=)
I want to check whether a coefficient has an impact on a quantile regression
(by applying the sup-wald test for a given quantile range [0.05,0.95].
Therefore I am doing the following calculations:
a=0;
for (i in 5:95/100){
fitrestricted=rq(Y~X1+X2,tau=i)
tifunrestrited=rq(Y~X1+X2+X3,tau=i)
a[i]=anova(fitrestricted,fitunrestricted)$table$Tn) #gives the Test-Value
}
supW=max(a)
As anova is using the summary.rq function I want to change the Standard
error method used (default: se="nid" leads to mistakes, I prefer
se="ker").
Do you know how to handle this information in the anova syntax?
Thank you very much
Stefan
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Stefan, You could try this: make a private version of anova.rqlist and change the call to lapply that computes summaries so that se = "ker" instead of se = "nid". Please let me know if this does what you would like to do. This is about 20 lines into the code. Could you also explain what you mean by "leads to mistakes" below? Thanks, Roger url: www.econ.uiuc.edu/~roger Roger Koenker email rkoenker at uiuc.edu Department of Economics vox: 217-333-4558 University of Illinois fax: 217-244-6678 Urbana, IL 61801 On May 28, 2012, at 7:54 AM, stefan23 wrote:> He folks=) > I want to check whether a coefficient has an impact on a quantile regression > (by applying the sup-wald test for a given quantile range [0.05,0.95]. > Therefore I am doing the following calculations: > a=0; > for (i in 5:95/100){ > fitrestricted=rq(Y~X1+X2,tau=i) > tifunrestrited=rq(Y~X1+X2+X3,tau=i) > a[i]=anova(fitrestricted,fitunrestricted)$table$Tn) #gives the Test-Value > } > supW=max(a) > > As anova is using the summary.rq function I want to change the Standard > error method used (default: se="nid" leads to mistakes, I prefer se="ker"). > Do you know how to handle this information in the anova syntax? > Thank you very much > Stefan > > -- > View this message in context: http://r.789695.n4.nabble.com/R-quantreg-anova-How-to-change-summary-se-type-tp4631576.html > Sent from the R help mailing list archive at Nabble.com. > > ______________________________________________ > R-help at r-project.org 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.
Hi Roger, thank you very much for your fast response. First of all, the mistakes I mentioned are all of the sam type:" In summary.rq(x, se = "nid", covariance = TRUE) : 22 non-positive fis". That is the reason why I want to change the se-procedure as I made the experience that there problem disappears by using se="ker". But unfortunately I am not able to following your answer as I do not have so much experience with R. I changed the summary.rq so that the procedure is calculated by using se="ker" as default, but anova.rq seems not to react on this change. How can I produce my private version? Do I have to generate my own quantreg package? Thank you very much for you help cheers Stefan Am 28.05.2012 19:05, schrieb Roger Koenker:> Stefan, > > You could try this: make a private version of anova.rqlist and change the call to lapply > that computes summaries so that se = "ker" instead of se = "nid". Please let me know > if this does what you would like to do. This is about 20 lines into the code. > > Could you also explain what you mean by > "leads to mistakes" below? > > Thanks, > Roger > > url: www.econ.uiuc.edu/~roger Roger Koenker > email rkoenker at uiuc.edu Department of Economics > vox: 217-333-4558 University of Illinois > fax: 217-244-6678 Urbana, IL 61801 > > On May 28, 2012, at 7:54 AM, stefan23 wrote: > >> He folks=) >> I want to check whether a coefficient has an impact on a quantile regression >> (by applying the sup-wald test for a given quantile range [0.05,0.95]. >> Therefore I am doing the following calculations: >> a=0; >> for (i in 5:95/100){ >> fitrestricted=rq(Y~X1+X2,tau=i) >> tifunrestrited=rq(Y~X1+X2+X3,tau=i) >> a[i]=anova(fitrestricted,fitunrestricted)$table$Tn) #gives the Test-Value >> } >> supW=max(a) >> >> As anova is using the summary.rq function I want to change the Standard >> error method used (default: se="nid" leads to mistakes, I prefer se="ker"). >> Do you know how to handle this information in the anova syntax? >> Thank you very much >> Stefan >> >> -- >> View this message in context: http://r.789695.n4.nabble.com/R-quantreg-anova-How-to-change-summary-se-type-tp4631576.html >> Sent from the R help mailing list archive at Nabble.com. >> >> ______________________________________________ >> R-help at r-project.org 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. >