Displaying 2 results from an estimated 2 matches for "fitunrestrict".
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fitunrestricted
2012 Jul 28
4
quantreg Wald-Test
...quantile regression coefficients. Now I want to check
whether all the coefficients of X are equal to zero (for this specific tau).
Can I do this by applying rq.anova ? I have already asked a similiar
question but I am not sure if anova is really calculating this for me..
Currently I am calculating
fitunrestricted=rq(Y_t~Y_(t-1)+Y_(t-2)+...+X_(t-1)+X_(t-2)+...,tau=q)
fitrestrited=rq(Y_t~Y_(t-1)+Y_(t-2)+...,tau=q)
anova(fitrestricted,fitunrestricted)
If this is correct can you tell me how the test value is calculated in this
case, or in other words:
My next step is going to replicate this procedure for a w...
2012 May 28
2
R quantreg anova: How to change summary se-type
...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 mu...