Greetings R Community,
I am running quantile regressions using quantreg in R. I also plot the
residuals in a QQplot which indicate fat tails. I would like to try using
Student distribution, but I do not know if the R software allows it for my task
in hand.
In my opinion it is very likely that there is a structural break and if that is
not taken into consideration by the rq() function leading to QQ plots which
display nonlinearity. Hence, the model is slightly misspecified.
I was also wondering if I can cope with the nonlinearity by using a sandwich
estimate in the summary.rq() function such as "ker".
How can I modify the model to improve the model specification and the standard
errors specifications? Can I modify the regression model or do I have to change
the method used to compute the error terms in summary.rq()?
Thanks for your feedback.
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