> On Oct 6, 2015, at 8:32 AM, Lorenz, David <lorenz at usgs.gov> wrote: > > Thanks for the details, I suspected something like that. > I think that begs the question: what is the meaning of quantile regression through the origin? If the tau=.5 line does not pass through 1/2 the data how do I interpret the line?As an estimate of the conditional median (quantile) function when constrained to pass through the origin? as with least squares fitting without an intercept, you do this at your peril.> > > On Tue, Oct 6, 2015 at 8:03 AM, Roger Koenker <rkoenker at illinois.edu> wrote: > > > On Oct 6, 2015, at 7:58 AM, Lorenz, David <lorenz at usgs.gov> wrote: > > > > Did you verify that the correct percentages were above/below the regression > > lines? I did a quick check and for example did not consistently get 50% of > > the observed response values greater than the tau=.5 line. I did when I > > included the nonzero intercept term. > > Your "correct percentages" are only correct when you have an intercept in the model, > without an intercept there is no gradient condition to ensure that. > > > > > > > >> Date: Mon, 5 Oct 2015 21:14:04 +0530 > >> From: Preetam Pal <lordpreetam at gmail.com> > >> To: stephen sefick <ssefick at gmail.com> > >> Cc: "r-help at r-project.org" <r-help at r-project.org> > >> Subject: Re: [R] Quantile Regression without intercept > >> Message-ID: <56129a41.025f440a.b1cf4.fffff5ee at mx.google.com> > >> Content-Type: text/plain; charset="UTF-8" > >> > >> Yes..it works. .... Thanks ?? > >> > >> -----Original Message----- > >> From: "stephen sefick" <ssefick at gmail.com> > >> Sent: ?05-?10-?2015 09:01 PM > >> To: "Preetam Pal" <lordpreetam at gmail.com> > >> Cc: "r-help at r-project.org" <r-help at r-project.org> > >> Subject: 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 <lordpreetam at gmail.com> > >> 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 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 and > >> Unemployment). Their sizes are 125 each. > >> > >> Appreciate your help with this. > >> > >> Regards, > >> Preetam > >> [[alternative HTML version deleted]] > >> > >> ______________________________________________ > >> R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see > >> 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. > >> > >> > >> > >> > >> > >> > >> -- > >> > >> Stephen Sefick > >> ************************************************** > >> Auburn University > >> Biological Sciences > >> 331 Funchess Hall > >> Auburn, Alabama > >> 36849 > >> ************************************************** > >> sas0025 at auburn.edu > >> http://www.auburn.edu/~sas0025 > >> ************************************************** > >> > >> Let's not spend our time and resources thinking about things that are so > >> little or so large that all they really do for us is puff us up and make us > >> feel like gods. We are mammals, and have not exhausted the annoying little > >> problems of being mammals. > >> > >> -K. Mullis > >> > >> "A big computer, a complex algorithm and a long time does not equal > >> science." > >> > >> -Robert Gentleman > >> [[alternative HTML version deleted]] > >> > >> > >> > >> > > > > [[alternative HTML version deleted]] > > > > ______________________________________________ > > R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see > > 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. > >
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 residuals for small x will be positive but have little leverage on the slope of the regression line.) With a correctly specified model, the theoretical mean residual is in fact zero, but it won't be exactly zero for any individual fit. Try e.g.> x <- 1:100 > r <- replicate(10000, {y <- rnorm(100, x); mean(resid(lm(y~x-1)))}) > hist(r)-pd On 06 Oct 2015, at 15:38 , Roger Koenker <rkoenker at illinois.edu> wrote:> >> On Oct 6, 2015, at 8:32 AM, Lorenz, David <lorenz at usgs.gov> wrote: >> >> Thanks for the details, I suspected something like that. >> I think that begs the question: what is the meaning of quantile regression through the origin? If the tau=.5 line does not pass through 1/2 the data how do I interpret the line? > > As an estimate of the conditional median (quantile) function when constrained to pass through > the origin? as with least squares fitting without an intercept, you do this at your peril. >> >> >> On Tue, Oct 6, 2015 at 8:03 AM, Roger Koenker <rkoenker at illinois.edu> wrote: >> >>> On Oct 6, 2015, at 7:58 AM, Lorenz, David <lorenz at usgs.gov> wrote: >>> >>> Did you verify that the correct percentages were above/below the regression >>> lines? I did a quick check and for example did not consistently get 50% of >>> the observed response values greater than the tau=.5 line. I did when I >>> included the nonzero intercept term. >> >> Your "correct percentages" are only correct when you have an intercept in the model, >> without an intercept there is no gradient condition to ensure that.[snip] -- Peter Dalgaard, Professor, Center for Statistics, Copenhagen Business School Solbjerg Plads 3, 2000 Frederiksberg, Denmark Phone: (+45)38153501 Office: A 4.23 Email: pd.mes at cbs.dk Priv: PDalgd at gmail.com
So, what does weighted quantile regression even aim to achieve? Invariably, this plane would not split the data set into the requisite fractions..... -----Original Message----- From: "Roger Koenker" <rkoenker at illinois.edu> Sent: ?06-?10-?2015 07:09 PM To: "Lorenz, David" <lorenz at usgs.gov> Cc: "r-help at r-project.org" <r-help at r-project.org> Subject: Re: [R] Quantile Regression without intercept> On Oct 6, 2015, at 8:32 AM, Lorenz, David <lorenz at usgs.gov> wrote: > > Thanks for the details, I suspected something like that. > I think that begs the question: what is the meaning of quantile regression through the origin? If the tau=.5 line does not pass through 1/2 the data how do I interpret the line?As an estimate of the conditional median (quantile) function when constrained to pass through the origin? as with least squares fitting without an intercept, you do this at your peril.> > > On Tue, Oct 6, 2015 at 8:03 AM, Roger Koenker <rkoenker at illinois.edu> wrote: > > > On Oct 6, 2015, at 7:58 AM, Lorenz, David <lorenz at usgs.gov> wrote: > > > > Did you verify that the correct percentages were above/below the regression > > lines? I did a quick check and for example did not consistently get 50% of > > the observed response values greater than the tau=.5 line. I did when I > > included the nonzero intercept term. > > Your "correct percentages" are only correct when you have an intercept in the model, > without an intercept there is no gradient condition to ensure that. > > > > > > > >> Date: Mon, 5 Oct 2015 21:14:04 +0530 > >> From: Preetam Pal <lordpreetam at gmail.com> > >> To: stephen sefick <ssefick at gmail.com> > >> Cc: "r-help at r-project.org" <r-help at r-project.org> > >> Subject: Re: [R] Quantile Regression without intercept > >> Message-ID: <56129a41.025f440a.b1cf4.fffff5ee at mx.google.com> > >> Content-Type: text/plain; charset="UTF-8" > >> > >> Yes..it works. .... Thanks ?? > >> > >> -----Original Message----- > >> From: "stephen sefick" <ssefick at gmail.com> > >> Sent: ?05-?10-?2015 09:01 PM > >> To: "Preetam Pal" <lordpreetam at gmail.com> > >> Cc: "r-help at r-project.org" <r-help at r-project.org> > >> Subject: 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 <lordpreetam at gmail.com> > >> 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 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 and > >> Unemployment). Their sizes are 125 each. > >> > >> Appreciate your help with this. > >> > >> Regards, > >> Preetam > >> [[alternative HTML version deleted]] > >> > >> ______________________________________________ > >> R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see > >> 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. > >> > >> > >> > >> > >> > >> > >> -- > >> > >> Stephen Sefick > >> ************************************************** > >> Auburn University > >> Biological Sciences > >> 331 Funchess Hall > >> Auburn, Alabama > >> 36849 > >> ************************************************** > >> sas0025 at auburn.edu > >> http://www.auburn.edu/~sas0025 > >> ************************************************** > >> > >> Let's not spend our time and resources thinking about things that are so > >> little or so large that all they really do for us is puff us up and make us > >> feel like gods. We are mammals, and have not exhausted the annoying little > >> problems of being mammals. > >> > >> -K. Mullis > >> > >> "A big computer, a complex algorithm and a long time does not equal > >> science." > >> > >> -Robert Gentleman > >> [[alternative HTML version deleted]] > >> > >> > >> > >> > > > > [[alternative HTML version deleted]] > > > > ______________________________________________ > > R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see > > 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 at r-project.org mailing list -- To UNSUBSCRIBE and more, see 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. [[alternative HTML version deleted]]