Description Usage Arguments Details References See Also Examples
Returns a summary list for an Unconditional Quantile Regression Fit.
1 |
urq |
an object of class |
R |
the number of bootstrap replications to be used. |
seed |
random number generator. |
colour |
colour of plot: default is lightblue. |
confidence |
significance level. |
graph |
boolean, if |
cluster |
column name of variable to be used in order to obtain cluster robust standard errors and confidence intervals. |
BC |
plot option: If set to |
This function provides standard errors and confidence intervals for the Recentered Influence Function regression fit urq
. If the cluster option is used, standard errors are cluster robust according to the variable supplied by the user, otherwise observations are assumed to be iid.
Inference is obtained though a bayesian bootstrap drawing observation (or cluster) weights from a Dirichlet distribution.
If the option graph is TRUE, then a quantile plot is provided showing estimates and confidence intervals (t approximation) or Bias-Corrected (BC) intervals. Confidence intervals using the BC percentile method typically require 1000 or more replications.
Rubin, D. B. (1981). The bayesian bootstrap. The annals of statistics, 9(1), 130-134.
Efron, B. and R. J. Tibshirani. Bootstrap methods for standard errors, confidence intervals, and other measures of statistical accuracy. Statistical science (1986): 54-75.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 | ### example for cross-sectional data ###
data(engel)
formula=foodexp ~ income
rifreg=urq(formula=formula,data=engel)
summary=urqCI(urq = rifreg,R = 10,graph = TRUE,seed = 1234)
### example for panel data ###
data(trust)
formula=Trust_in_the_ECB~Trust_in_the_EU+Trust_in_National_Government
cre=~Trust_in_the_EU+Trust_in_National_Government
rif=urq(formula,data=trust,cre=cre,id="countryname")
summary=urqCI(urq = rif,R = 10,graph = TRUE,seed = 1234,cluster="countryname")
|
Loading required package: Hmisc
Loading required package: lattice
Loading required package: survival
Loading required package: Formula
Loading required package: ggplot2
Attaching package: 'Hmisc'
The following objects are masked from 'package:base':
format.pval, round.POSIXt, trunc.POSIXt, units
Loading required package: gtools
Bootstrapping
Number of replications is small, please consider increasing it.Bootstrapping
Number of replications is small, please consider increasing it.
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