[R] Quantile Regression: Measuring Goodness of Fit
Anupam.Tyagi at haim.in
Sun Oct 29 16:18:35 CET 2006
Efferz, Martin <efferz <at> finance.uni-mainz.de> writes:
> how to measure the goodness of fit, when using the rq() function of quantreg?
I need something like an R^2 for
> quantile regression, a single number which tells me if the fit of the whole
quantile process (not only for a
> single quantile) is o.k. or not.
> Is it possible to compare the (conditional) quantile process with the
> distribution function? Perhaps with a Chi^2 or Kolmogorv-Smirnov Test?
> Thanks for feedback.
More information about the R-help