[R] linear against nonlinear alternatives - quantile regression

[Frank Harrell]

Roger,

It's nice to see a reply from the leader in quantile regression.  I wonder
if I might ask a somewhat unrelated question.  A few recent papers have
developed ways to force quantile regression curves not to cross.  Do you
have plans to implement this capability in quantreg?

Thanks very much for developing such a fantastic package.
Frank


Roger Koenker-3 wrote:
> 
> Roger Koenker
> rkoenker@
> 
> 
> 
> 
> On Nov 5, 2011, at 1:02 PM, Julia Lira wrote:
> 
>>
>> Dear David,
>>
>> Indeed rq() accepts a vector fo tau. I used the example given by  
>> Frank to run
>>
>> fitspl4 <- summary(rq(b1 ~ rcs(x,4), tau=c(a1,a2,a3,a4)))
>>
>> and it works.
>>
>> I even can use anova() to test equality of slopes jointly across  
>> quantiles. however, it would be interesting to test among different  
>> specifications, e.g. rcs(x,4) against rcs(x,3). but it does not work.
> 
> Probably because the models aren't nested...
>>
>> Thanks for all suggestions!
>>
>> Julia
>>
>>> From: dwinsemius@
>>> Date: Sat, 5 Nov 2011 13:42:34 -0400
>>> To: f.harrell@
>>> CC: r-help@
>>> Subject: Re: [R] linear against nonlinear alternatives - quantile  
>>> regression
>>>
>>> I suppose this constitutes thread drift, but your simple example,  
>>> Frank, made wonder if Rq() accepts a vector argument for tau. I  
>>> seem to remember that Koencker's rq() does.. Normally I would  
>>> consult the help page, but the power is still out here in Central  
>>> Connecticut and I am corresponding with a less capable device. I am  
>>> guessing that if Rq() does accept such a vector that the form of  
>>> the nonlinearity would be imposed at all levels of tau.
>>>
>>> -- 
>>> David
>>>
>>> On Nov 5, 2011, at 10:43 AM, Frank Harrell  
>>> <f.harrell@> wrote:
>>>
>>>> Just to address a piece of this - in the case in which you are  
>>>> currently
>>>> focusing on only one quantile, the rms package can help by fitting
>>>> restricted cubic splines for covariate effects, and then run anova  
>>>> to test
>>>> for nonlinearity (sometimes a dubious practice because if you then  
>>>> remove
>>>> nonlinear terms you are mildly cheating).
>>>>
>>>> require(rms)
>>>> f <- Rq(y ~ x1 + rcs(x2,4), tau=.25)
>>>> anova(f)  # tests associations and nonlinearity of x2
>>>>
>>>> Frank
>>>>
>>>> Julia Lira wrote:
>>>>>
>>>>> Dear all,
>>>>>
>>>>> I would like to know whether any specification test for linear  
>>>>> against
>>>>> nonlinear model hypothesis has been implemented in R using the  
>>>>> quantreg
>>>>> package.
>>>>>
>>>>> I could read papers concerning this issue, but they haven't been
>>>>> implemented at R. As far as I know, we only have two  
>>>>> specification tests
>>>>> in this line: anova.rq and Khmaladze.test. The first one test  
>>>>> equality and
>>>>> significance of the slopes across quantiles and the latter one  
>>>>> test if the
>>>>> linear specification is model of location or location and scale  
>>>>> shift.
>>>>>
>>>>> Do you have any suggestion?
>>>>>
>>>>> Thanks a lot!
>>>>>
>>>>> Best regards,
>>>>>
>>>>> Julia
>>>>>
>>>>>   [[alternative HTML version deleted]]
>>>>>
>>>>> ______________________________________________
>>>>> R-help@ mailing list
>>>>> https://stat.ethz.ch/mailman/listinfo/r-help
>>>>> PLEASE do read the posting guide
>>>>> http://www.R-project.org/posting-guide.html
>>>>> and provide commented, minimal, self-contained, reproducible code.
>>>>>
>>>>
>>>>
>>>> -----
>>>> Frank Harrell
>>>> Department of Biostatistics, Vanderbilt University
>>>> --
>>>> View this message in context:
>>>> http://r.789695.n4.nabble.com/linear-against-nonlinear-alternatives-quantile-regression-tp3993327p3993416.html
>>>> Sent from the R help mailing list archive at Nabble.com.
>>>>
>>>> ______________________________________________
>>>> R-help@ mailing list
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>>>> PLEASE do read the posting guide
>>>> http://www.R-project.org/posting-guide.html
>>>> and provide commented, minimal, self-contained, reproducible code.
>>>
>>> ______________________________________________
>>> R-help@ mailing list
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>>> PLEASE do read the posting guide
>>> http://www.R-project.org/posting-guide.html
>>> and provide commented, minimal, self-contained, reproducible code.
>> 		 	   		
>> 	[[alternative HTML version deleted]]
>>
>> ______________________________________________
>> R-help@ mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-help
>> PLEASE do read the posting guide
>> http://www.R-project.org/posting-guide.html
>> and provide commented, minimal, self-contained, reproducible code.
> 
> ______________________________________________
> R-help@ mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
> http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
> 


-----
Frank Harrell
Department of Biostatistics, Vanderbilt University
--
View this message in context: http://r.789695.n4.nabble.com/linear-against-nonlinear-alternatives-quantile-regression-tp3993327p3995819.html
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