[R] Pseudo R for Quant Reg

roger koenker rkoenker at uiuc.edu
Wed Aug 2 16:13:52 CEST 2006


This is getting to be a faq -- here is a prior answer:

> No, but the objective function can be computed for any fitted
> rq object, say f,  as
>
> 	rho <- function(u,tau=.5)u*(tau - (u < 0))
> 	V <- sum(rho(f$resid, f$tau))
>
> so it is easy to roll your own....

I don't much like R1, or R2 for that matter, so it isn't likely to
be automatically provided in quantreg any time soon.


url:    www.econ.uiuc.edu/~roger            Roger Koenker
email    rkoenker at uiuc.edu            Department of Economics
vox:     217-333-4558                University of Illinois
fax:       217-244-6678                Champaign, IL 61820


On Aug 1, 2006, at 11:46 AM, ricardosilva at serasa.com.br wrote:

> Dear R Users,
>
> Did someone implemented the R1 (Pseudo R-2) and likelihood ratio
> statistics for quantile regressions,  which are some of the inference
> procedures for quantile regression
> found in Koenker and Machado (1999)?
> I tried the Ox version, but my dataset is too large (> 50.000) and the
> algorith breaks.
> ________________________________________
> Ricardo Gonçalves Silva, M. Sc.
> Apoio aos Processos de Modelagem Matemática
> Econometria & Inadimplência
> Serasa S.A.
> (11) - 6847-8889
> ricardosilva at serasa.com.br
>
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