In quantreg if you do
FAQ()
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 [email protected] 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]]
>
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