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.harr...@vanderbilt.edu> 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@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. ______________________________________________ R-help@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.