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2012 Apr 19
2
ANOVA in quantreg - faulty test for 'nesting'?
I am trying to implement an ANOVA on a pair of quantile regression models in
R. The anova.rq() function performs a basic check to see whether the models
are nested, but I think this check is failing in my case. I think my models
are nested despite the anova.rqlist() function saying otherwise. Here is an
example where the GLM ANOVA regards the models as nested, but the quantile
regression ANOVA tells me the models aren't nested:
y = rnorm(100)
x1 = rnorm(100)
x2 = rnorm(100)
fmla1 = y~I(x1+x2)
fmla2 = y~x1+x2
f1 = glm(fmla1)
f2 = glm(fmla2)
anova(f1,f...
2012 May 28
2
R quantreg anova: How to change summary se-type
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