[R] quantreg behavior changes for N>1000
Jeff G.
jrg66 at comcast.net
Tue Jul 24 19:57:23 CEST 2007
Hello again R-experts and novices (like me),
This seems like a bug to me - or maybe it's intentional...can anyone
confirm? Up to 1000 reps, summary() of a rq object gives different
output and subtly different confidence interval estimates.
Thanks....Jeff
testx=runif(1200)
testy=rnorm(1200, 5)
test.rq=summary(rq(testy[1:1000]~testx[1:1000], tau=2:98/100))
test.rq[[1]]
Gives this output:
Call: rq(formula = testy[1:1000] ~ testx[1:1000], tau = 2:98/100)
tau: [1] 0.02
Coefficients:
coefficients lower bd upper bd
(Intercept) 3.00026 2.45142 3.17098
testx[1:1000] -0.00870 -0.39817 0.49946
test.rq=summary(rq(testy[1:1001]~testx[1:1001], tau=2:98/100))
test.rq[[1]]
Gives this (different) output:
Call: rq(formula = testy[1:1001] ~ testx[1:1001], tau = 2:98/100)
tau: [1] 0.02
Coefficients:
Value Std. Error t value Pr(>|t|)
(Intercept) 3.00026 0.21605 13.88658 0.00000
testx[1:1001] -0.00870 0.32976 -0.02638 0.97896
plot(test.rq, nrow=2, ncol=2) # The slope estimates appear to be the
same but there are subtle differences in the confidence intervals, which
shouldn't be due simply to the inclusion of one more point.
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