Julia Lira
2012-Jan-06 15:22 UTC
[R] VarCov matrix between coefficients across quantiles - summary.rq
Dear all, I am trying to design a Wald test to verify whether some coefficients are statistically equal. I would like to test not only whether they are jointly equal for a given quantile, but for a range of quantiles. Hence, I need to extract the variance-covariance matrix among the coefficients of a rq object: qf2 <- summary(rq(wb2 ~ apv2 + vol2, tau=c(a1,a2)), cov=TRUE) I need not only the varcov matrix between the coefficients beta_0, beta_1, beta_2, but also between beta_0(a1) and beta_0(a2), and so on... (i.e., across quantiles) it is not a simple anova.rq test because I am comparing two different samples. The samples are independent, so, the varcov matrix between them is zero. However, I need to find the varcov between the coefficients across quantiles for each sample. Then, i will include the matrix in my Wald Test. I have tried the command qf2[[3]], but it does not work. Is there any other command that gives me the varcov between all those coefficients across quantiles? Thanks a lot! Julia [[alternative HTML version deleted]]