[R] Question of "Quantile Regression for Longitudinal Data"

[RKoenker]

I've used the function rq.fit.sfn  and rq.fit.panel 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 (T-statistics and   P-value ).

 Does someone know how could I do that?


For formal inference you are better off using rqss() in the quantreg
package, but beware that formal
inference for shrinkage estimators is still an active research topic.

For goodness of fit statistics like the usual regression R^2, see FAQ() item
4 in the quantreg package.


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                Urbana, IL 61801

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