[R] Goodness of fit in quantile regression

laura m. mayoralaura at gmail.com
Fri May 22 11:06:40 CEST 2009


Dear R users,


I've used the function qr.fit.sfn to estimate a quantile regression on a
panel data set. Now I would like to compute an statistic to measure the
goodness of fit of this model.

Does someone know how could I do that? I could compute a pseudo R2 but in
order to do that I would need the value of the objetive function at the
optimum and I don't see how to get this from the function qr.fit.sfn.

If someone has any good idea about how to solve this problem I would be most
grateful!

Best

Laura
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