| summary.rq {quantreg} | R Documentation |
Returns a summary list for a quantile regression fit. A null value will be returned if printing is invoked.
summary.rq(object, se="nid", covariance=T, hs = T)
a list is returned with the following components
coefficients |
a p by 4 matrix consisting of the coefficients, their estimated standard errors, their t-statistics, and their associated p-values. |
cov |
the estimated covariance matrix for the coefficients in the model,
provided that cov=T in the called sequence.
|
Hinv |
inverse of the estimated Hessian matrix returned if cov=T and
se != "iid".
|
J |
Outer product of gradient matrix returned if cov=T and se
!= "iid". The Huber sandwich is cov = Hinv %*% J %*% Hinv.
|
Koenker, R. (2000) Quantile Regression.
data(stackloss) y <- stack.loss x <- stack.x summary(rq(y ~ x, method="fn")) # Compute se's for fit using "nid" method. summary(rq(y ~ x, ci=F),se="ker") # default "br" alg, and compute kernel method se's