[R] R quantreg anova: How to change summary se-type

[Roger Koenker]

Stefan,

You could try this:  make a private version of anova.rqlist  and change the call to lapply
that computes summaries  so that se = "ker" instead of se = "nid".  Please let me know
if this does what you would like to do.  This is about 20 lines into the code.

Could you also explain what you mean by 
"leads to mistakes"  below?

Thanks,
Roger

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

On May 28, 2012, at 7:54 AM, stefan23 wrote:

> He folks=)
> I want to check whether a coefficient has an impact on a quantile regression
> (by applying the sup-wald test for a given quantile range [0.05,0.95].
> Therefore I am doing the following calculations:
> a=0;
> for (i in 5:95/100){
> fitrestricted=rq(Y~X1+X2,tau=i)
> tifunrestrited=rq(Y~X1+X2+X3,tau=i)
> a[i]=anova(fitrestricted,fitunrestricted)$table$Tn) #gives the Test-Value
> }
> supW=max(a)
> 
> As anova is using the summary.rq function I want to change the Standard
> error method used (default: se="nid" leads to mistakes, I prefer se="ker").
> Do you know how to handle this information in the anova syntax?
> Thank you very much
> Stefan
> 
> --
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> 
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