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nonlinear quantile regression

3 messages · Ricardo Bessa, Roger Koenker, Philippe GROSJEAN

Ricardo Bessa
# 
Hello, I?m with a problem in using nonlinear quantile regression, the 
function nlrq.
I want to do a quantile regression o nonlinear function in the form 
a*log(x)-b, the coefficients ?a? and ?b? is my objective. I try to use the 
command:

funx <- function(x,a,b){
res <- a*log(x)-b
res
}

Dat.nlrq <- nlrq(y ~ funx(x, a, b), data=Dat, tau=0.25, trace=TRUE)

But a can?t solve de problem, How I put the formula ?y ~ funx(x,a,b)??

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Roger Koenker
# 
This isn't a nonlinear QR problem.  You can write:

	f <- rq(y ~ log(x),  data=Dat, tau=0.25)

which corresponds to the model

	Q_y (.25|x)  =  a log(x) + b

note the sign convention on b.

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 Dec 2, 2006, at 1:47 PM, Ricardo Bessa wrote:

            

      
      
      
    

        

      
      
    

  
  


  


      

    

    

      
      

        


  

        

      Philippe GROSJEAN
    

    

      
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You must specify starting conditions.

PhG

        
Ricardo Bessa wrote: