[R] Quantile Regression: Measuring Goodness of Fit

[Anupam Tyagi]

Hi Martin,

Efferz, Martin <efferz <at> finance.uni-mainz.de> writes:

> 
> 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

Please see:

http://www.econ.uiuc.edu/~roger/research/rq/rq.html

Anupam.