[R] question

Roger Koenker rkoenker at illinois.edu
Mon Apr 22 14:29:04 CEST 2013

In quantreg if you do 


item 4 is:

4.  [R^2]  "I am currently trying to caculate the coefficient of determination for 
different quantile regression models. For example, how do you calculate 
the the sum of the weighted absolute deviations in the models ..."

   R-squared is evil, that is why there isn't an automated way to compute
   something similar for quantile regression  in the quantreg package.  
   But if you insist use:

        R1 <- 1 - f1$rho/f0$rho

   Provided that f0 is nested within f1 and the taus are the same, 0 <= R1 <= 1.
   If you want to test f1 vs f0 then use anova(f1,f0)

   For further details see: Koenker R. and Jose A.F. Machado.  Goodness 
   of Fit and Related Inference Processes for Quantile Regression 
   J. of Am Stat. Assoc, (1999), 94, 1296-1310. 

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 Apr 22, 2013, at 2:59 AM, nafiseh hagiaghamohammadi wrote:

> Hi
> Does anyone know if there is a method to calculate a goodness-of-fit 
> statistic for quantile regressions with package quantreg? 
> Tanks
> 	[[alternative HTML version deleted]]
> ______________________________________________
> R-help at r-project.org 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.

More information about the R-help mailing list