Laura: Part of the issue may depend on what you mean by goodness-of-ft. If you are looking for some global measure like a pseudo R or AIC to select among models, you ought to be able to make those calculations off the objective function that was minimized as you recognized. If qr.fit.sfn() does not return the objective function like rq.fit.br(), the simplex routine, you still ought to be able to do the calculations by performing the asymmetric weighting of the residuals from the model (see Roger Koenker's 2005 book). Now, if by goodness-of-fit you mean how the model fits in local regions of the predictor space, then you might want to check out Stef van Buuren's work on worm plots to diagnose fit in quantile regression. Don't remember where he published this but his email is stef.vanbuu...@tno.nl
Brian Brian S. Cade, PhD U. S. Geological Survey Fort Collins Science Center 2150 Centre Ave., Bldg. C Fort Collins, CO 80526-8818 email: brian_c...@usgs.gov tel: 970 226-9326 From: "laura m." <mayorala...@gmail.com> To: r-help@r-project.org Date: 05/22/2009 03:29 AM Subject: [R] Goodness of fit in quantile regression Sent by: r-help-boun...@r-project.org Dear R users, I've used the function qr.fit.sfn to estimate a quantile regression on a panel data set. Now I would like to compute an statistic to measure the goodness of fit of this model. Does someone know how could I do that? I could compute a pseudo R2 but in order to do that I would need the value of the objetive function at the optimum and I don't see how to get this from the function qr.fit.sfn. If someone has any good idea about how to solve this problem I would be most grateful! Best Laura -- View this message in context: http://www.nabble.com/Goodness-of-fit-in-quantile-regression-tp23666962p23666962.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. [[alternative HTML version deleted]] ______________________________________________ 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.