rqProcess: Compute Quantile Regression Process
Description
Computes the quantile regression process for the model
specified by the formula on the grid specified by the
taus argument. Intended for use in khmaladze.test.Usage
rqProcess(formula, data, taus = seq(0.2, 0.8, by = 0.1))
Arguments
data
data frame to be used to interpret formula
taus
quantiles at which the process is to be evaluated
Value
- coefsPoint estimates of the coefs of the model
- JJ matrix of the usual qr sandwich formula, without
any tau(1-tau) factor
- HinvHinv matrices of the usual qr sandwich formula,
this is an array of dimension (p,p,m)
Details
The process computes point estimates and also returns an array
with the J and Hinv matrices needed to compute standardizations.