Zelig-quantile-class: Quantile Regression for Continuous Dependent Variables

In Zelig: Everyone's Statistical Software

Description

Quantile Regression for Continuous Dependent Variables

Arguments

formula	a symbolic representation of the model to be estimated, in the form y ~ x1 + x2, where y is the dependent variable and x1 and x2 are the explanatory variables, and y, x1, and x2 are contained in the same dataset. (You may include more than two explanatory variables, of course.) The + symbol means “inclusion” not “addition.” You may also include interaction terms and main effects in the form x1*x2 without computing them in prior steps; I(x1*x2) to include only the interaction term and exclude the main effects; and quadratic terms in the form I(x1^2).
model	the name of a statistical model to estimate. For a list of other supported models and their documentation see: http://docs.zeligproject.org/articles/.
data	the name of a data frame containing the variables referenced in the formula or a list of multiply imputed data frames each having the same variable names and row numbers (created by Amelia or to_zelig_mi).
...	additional arguments passed to zelig, relevant for the model to be estimated.
by	a factor variable contained in data. If supplied, zelig will subset the data frame based on the levels in the by variable, and estimate a model for each subset. This can save a considerable amount of effort. You may also use by to run models using MatchIt subclasses.
cite	If is set to 'TRUE' (default), the model citation will be printed to the console.

Details

In addition to the standard inputs, zelig takes the following additional options for quantile regression:

• tau: defaults to 0.5. Specifies the conditional quantile(s) that will be estimated. 0.5 corresponds to estimating the conditional median, 0.25 and 0.75 correspond to the conditional quartiles, etc. tau vectors with length greater than 1 are not currently supported. If tau is set outside of the interval [0,1], zelig returns the solution for all possible conditional quantiles given the data, but does not support inference on this fit (setx and sim will fail).

• se: a string value that defaults to "nid". Specifies the method by which the covariance matrix of coefficients is estimated during the sim stage of analysis. se can take the following values, which are passed to the summary.rq function from the quantreg package. These descriptions are copied from the summary.rq documentation.

  • "iid" which presumes that the errors are iid and computes an estimate of the asymptotic covariance matrix as in KB(1978).

  • "nid" which presumes local (in tau) linearity (in x) of the the conditional quantile functions and computes a Huber sandwich estimate using a local estimate of the sparsity.

  • "ker" which uses a kernel estimate of the sandwich as proposed by Powell(1990).

• ...: additional options passed to rq when fitting the model. See documentation for rq in the quantreg package for more information.

Additional parameters avaialable to this model include:

• weights: vector of weight values or a name of a variable in the dataset by which to weight the model. For more information see: http://docs.zeligproject.org/articles/weights.html.

• bootstrap: logical or numeric. If FALSE don't use bootstraps to robustly estimate uncertainty around model parameters due to sampling error. If an integer is supplied, the number of boostraps to run. For more information see: http://docs.zeligproject.org/articles/bootstraps.html.

Value

Depending on the class of model selected, zelig will return an object with elements including coefficients, residuals, and formula which may be summarized using summary(z.out) or individually extracted using, for example, coef(z.out). See http://docs.zeligproject.org/articles/getters.html for a list of functions to extract model components. You can also extract whole fitted model objects using from_zelig_model.

Methods

zelig(formula, data, model = NULL, ..., weights = NULL, by, bootstrap = FALSE)

The zelig function estimates a variety of statistical models

See Also

Vignette: http://docs.zeligproject.org/articles/zelig_quantile.html

Examples

library(Zelig)
data(stackloss)
z.out1 <- zelig(stack.loss ~ Air.Flow + Water.Temp + Acid.Conc.,
model = "rq", data = stackloss,tau = 0.5)
summary(z.out1)

Zelig documentation built on Jan. 8, 2021, 2:26 a.m.