[R] Quantile Regression: Measuring Goodness of Fit

Efferz, Martin efferz at finance.uni-mainz.de
Fri Oct 27 17:26:31 CEST 2006


Hi,
 
how to measure the goodness of fit, when using the rq() function of quantreg? I need something like an R^2 for quantile regression, a single number which tells me if the fit of the whole quantile process (not only for a single quantile) is o.k. or not. 
Is it possible to compare the (conditional) quantile process with the (unconditional) empirical distribution function? Perhaps with a Chi^2 or Kolmogorv-Smirnov Test?
 
Thanks for feedback.
 
Martin



More information about the R-help mailing list