Displaying 4 results from an estimated 4 matches for "stefan23".
Did you mean:
stefan
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
2012 Jul 28
4
quantreg Wald-Test
Dear all,
I know that my question is somewhat special but I tried several times to
solve the problems on my own but I am unfortunately not able to compute the
following test statistic using the quantreg package. Well, here we go, I
appreciate every little comment or help as I really do not know how to tell
R what I want it to do^^
My situation is as follows: I have a data set containing a
2012 May 24
1
plot(summary) quantreg - Not all outputs needed
Hi Folks,
I am currently trying to present some results I obtained by using the
quantreg package developed by Roger Koenker. After calculating
fit<-summary(rq(Y~X1+X2, tau=2:98/100) ) the function plot(fit) presents a
really nice the results by showing the values for all "regressors" in the
given interval tau. But in my case, I only need the output of a single
variable, say X1 and I
2012 Jul 14
1
Quantile Regression - Testing for Non-causalities in quantiles
Dear all,
I am searching for a way to compute a test comparable to Chuang et al.
("Causality in Quantiles and Dynamic Stock
Return-Volume Relations"). The aim of this test is to check wheter the
coefficient of a quantile regression granger-causes Y in a quantile range. I
have nearly computed everything but I am searching for an estimator of the
density of the distribution at several