[R] rqss help in Quantreg

[Roger Koenker]

This is _not_ a reproducible example so one can only guess, 
but the fact that with returns "the analysis goes" suggests that
there is something amiss with your price variable.

Roger Koenker
rkoenker at illinois.edu



On May 28, 2011, at 1:47 PM, Sergius Cerice wrote:

> Dear All, 
> 
> I,m trying to fulfill a constraint nonparametric quantile regression
> analysis for monthly stock index  and gdp (159 cases of data) using rqss
> function of quantreg package. I need to specify that stock prices are
> nondecreasing with growing gdp. 
> 
> I tried the following simple code
> 
> fit1<-rqss(stock~gdp)
> fit2<-rqss(stock~qss(gdp,constraint="I")+time)
> 
> but R produces an error message
> 
> for the firsts line of the code
> Error in rqss.fit(X, Y, tau = tau, rhs = rhs, nsubmax = nsubmax, nnzlmax =
> nnzlmax,  : 
> object 'rhs' is not found
> 
> for the second line of the code
> Error in D %*% B : NA/NaN/Inf when calling external function (argument 7)
> 
> If I use returns instead of prices, the analysis goes. But I need to regress
> prices.
> What is wrong in my specification? Are there any restrictions in the rqss
> approach?
> 
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