[R] linear against nonlinear alternatives - quantile regression

[Frank Harrell]

Sorry I didn't respond earlier.  No, Rq does not take a vector tau.
Frank

David Winsemius wrote:
> 
> I suppose this constitutes thread drift, but your simple example, Frank,
> made wonder if Rq() accepts a vector argument for tau. I seem to remember
> that Koencker's rq() does.. Normally I would consult the help page, but
> the power is still out here in Central Connecticut and I am corresponding
> with a less capable device. I am guessing that if Rq() does accept such a
> vector that the form of the nonlinearity would be imposed at all levels of
> tau.
> 
> -- 
> David
> 
> On Nov 5, 2011, at 10:43 AM, Frank Harrell <f.harrell@> wrote:
> 
>> Just to address a piece of this - in the case in which you are currently
>> focusing on only one quantile, the rms package can help by fitting
>> restricted cubic splines for covariate effects, and then run anova to
>> test
>> for nonlinearity (sometimes a dubious practice because if you then remove
>> nonlinear terms you are mildly cheating).
>> 
>> require(rms)
>> f <- Rq(y ~ x1 + rcs(x2,4), tau=.25)
>> anova(f)  # tests associations and nonlinearity of x2
>> 
>> Frank
>> 
>> Julia Lira wrote:
>>> 
>>> Dear all,
>>> 
>>> I would like to know whether any specification test for linear against
>>> nonlinear model hypothesis has been implemented in R using the quantreg
>>> package. 
>>> 
>>> I could read papers concerning this issue, but they haven't been
>>> implemented at R. As far as I know, we only have two specification tests
>>> in this line: anova.rq and Khmaladze.test. The first one test equality
>>> and
>>> significance of the slopes across quantiles and the latter one test if
>>> the
>>> linear specification is model of location or location and scale shift. 
>>> 
>>> Do you have any suggestion?
>>> 
>>> Thanks a lot!
>>> 
>>> Best regards,
>>> 
>>> Julia
>>>                         
>>>    [[alternative HTML version deleted]]
>>> 
>>> ______________________________________________
>>> R-help@ mailing list
>>> https://stat.ethz.ch/mailman/listinfo/r-help
>>> PLEASE do read the posting guide
>>> http://www.R-project.org/posting-guide.html
>>> and provide commented, minimal, self-contained, reproducible code.
>>> 
>> 
>> 
>> -----
>> Frank Harrell
>> Department of Biostatistics, Vanderbilt University
>> --
>> View this message in context:
>> http://r.789695.n4.nabble.com/linear-against-nonlinear-alternatives-quantile-regression-tp3993327p3993416.html
>> Sent from the R help mailing list archive at Nabble.com.
>> 
>> ______________________________________________
>> R-help@ mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-help
>> PLEASE do read the posting guide
>> http://www.R-project.org/posting-guide.html
>> and provide commented, minimal, self-contained, reproducible code.
> 
> ______________________________________________
> R-help@ mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
> http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
> 


-----
Frank Harrell
Department of Biostatistics, Vanderbilt University
--
View this message in context: http://r.789695.n4.nabble.com/linear-against-nonlinear-alternatives-quantile-regression-tp3993327p4078252.html
Sent from the R help mailing list archive at Nabble.com.