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

[Stefan Voigt]

Hi Roger,
thank you very much for your fast response. First of all, the mistakes I 
mentioned are all of the sam type:" In summary.rq(x, se = "nid", 
covariance = TRUE) : 22 non-positive fis". That is the reason why I want 
to change the se-procedure as I made the experience that there problem 
disappears by using se="ker".
But unfortunately I am not able to following your answer as I do not 
have so much experience with R. I changed the summary.rq so that the 
procedure is calculated by using se="ker" as default, but anova.rq seems 
not to react on this change. How can I produce my private version? Do I 
have to generate my own quantreg package?
Thank you very much for you help
cheers
Stefan

Am 28.05.2012 19:05, schrieb 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
>>
>> --
>> View this message in context: http://r.789695.n4.nabble.com/R-quantreg-anova-How-to-change-summary-se-type-tp4631576.html
>> Sent from the R help mailing list archive at Nabble.com.
>>
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>