[R] quantreg behavior changes for N>1000
roger koenker
rkoenker at uiuc.edu
Tue Jul 24 20:29:13 CEST 2007
When in doubt: RTFM -- Quoting from ?summary.rq
se: specifies the method used to compute standard standard
errors. There are currently five available methods:
1. '"rank"' which produces confidence intervals for the
estimated parameters by inverting a rank test as
described in Koenker (1994). The default option
assumes that the errors are iid, while the option iid =
FALSE implements the proposal of Koenker Machado
(1999). This is the default method unless the sample
size exceeds 1001, or cov = FALSE in which case se =
"nid" is used.
url: www.econ.uiuc.edu/~roger Roger Koenker
email rkoenker at uiuc.edu Department of Economics
vox: 217-333-4558 University of Illinois
fax: 217-244-6678 Champaign, IL 61820
On Jul 24, 2007, at 12:57 PM, Jeff G. wrote:
> 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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