On Jul 28, 2012, at 8:55 AM, stefan23 wrote: > Dear all, > I know that my question is somewhat special but I tried several times to > solve the problems on my own but I am unfortunately not able to compute the > following test statistic using the quantreg package. Well, here we go, I > appreciate every little comment or help as I really do not know how to tell > R what I want it to do^^ > My situation is as follows: I have a data set containing a (dependent) > vector Y and the regressor X. My aim is to check whether the two variables > do not granger-cause each other in quantiles. I started to compute via > quantreg for a single tau:= q: > rq(Y_t~Y_(t-1)+Y_(t-2)+...+X_(t-1)+X_(t-2)+...,tau=q) > This gives me the quantile regression coefficients. Now I want to check > whether all the coefficients of X are equal to zero (for this specific tau). > Can I do this by applying rq.anova ? I have already asked a similiar > question but I am not sure if anova is really calculating this for me.. > Currently I am calculating > fitunrestricted=rq(Y_t~Y_(t-1)+Y_(t-2)+...+X_(t-1)+X_(t-2)+...,tau=q) > fitrestrited=rq(Y_t~Y_(t-1)+Y_(t-2)+...,tau=q) > anova(fitrestricted,fitunrestricted) > If this is correct can you tell me how the test value is calculated in this > case, Yes, this gives a Wald test if test = "Wald" is specified. You need to read the man page and the references mentioned there for further details. R-help isn't really intended to be a substitute for reading the literature.
> or in other words: > My next step is going to replicate this procedure for a whole range of > quantiles (say for tau in [a,b]). To apply a sup-Wald-test I am wondering if > it is correct to choose the maximum of the different test values and to > simulate the critical values by using the data tabulated in Andrees(1993) Do you mean Andrews? Such sup-Wald tests have been extensively discussed in various places, simulating asymptotic critical values is probably the most straightforward approach, but you need to be careful about tail behavior. > (or simulate the vectors of independent Brownian Motions)...please feel free > to comment, I am really looking forward to your help! > Thank you very much > Cheers > Stefan > > > > > -- > View this message in context: > http://r.789695.n4.nabble.com/quantreg-Wald-Test-tp4638198.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.