On Jul 28, 2012, at 8:55 AM, stefan23 wrote:
Dear all, I know that my question is somewhat special but I tried several times to solve the problems on my own but I am unfortunately not able to compute the following test statistic using the quantreg package. Well, here we go, I appreciate every little comment or help as I really do not know how to tell R what I want it to do^^ My situation is as follows: I have a data set containing a (dependent) vector Y and the regressor X. My aim is to check whether the two variables do not granger-cause each other in quantiles. I started to compute via quantreg for a single tau:= q: rq(Y_t~Y_(t-1)+Y_(t-2)+...+X_(t-1)+X_(t-2)+...,tau=q) This gives me the quantile regression coefficients. Now I want to check whether all the coefficients of X are equal to zero (for this specific tau). Can I do this by applying rq.anova ? I have already asked a similiar question but I am not sure if anova is really calculating this for me.. Currently I am calculating fitunrestricted=rq(Y_t~Y_(t-1)+Y_(t-2)+...+X_(t-1)+X_(t-2)+...,tau=q) fitrestrited=rq(Y_t~Y_(t-1)+Y_(t-2)+...,tau=q) anova(fitrestricted,fitunrestricted) If this is correct can you tell me how the test value is calculated in this case,
Yes, this gives a Wald test if test = "Wald" is specified. You need to read the man page and the references mentioned there for further details. R-help isn't really intended to be a substitute for reading the literature.
or in other words: My next step is going to replicate this procedure for a whole range of quantiles (say for tau in [a,b]). To apply a sup-Wald-test I am wondering if it is correct to choose the maximum of the different test values and to simulate the critical values by using the data tabulated in Andrees(1993)
Do you mean Andrews? Such sup-Wald tests have been extensively discussed in various places, simulating asymptotic critical values is probably the most straightforward approach, but you need to be careful about tail behavior.
(or simulate the vectors of independent Brownian Motions)...please feel free to comment, I am really looking forward to your help! Thank you very much Cheers Stefan -- View this message in context: http://r.789695.n4.nabble.com/quantreg-Wald-Test-tp4638198.html Sent from the R help mailing list archive at Nabble.com.
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