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tifunrestrited
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 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...