Dear all,

I am having v.4.36 of Quantreg package and I noticed strange behaviour when

weights were added. Could anyone please explain me what if the results are

really strange or the behavioiur is normal. As an example I am using dataset

Engel from the package and my own weights.

x<-engel[1:50,1]

y<-engel[1:50,2]

w<-c(0.00123, 0.00050, 0.00126, 0.00183, 0.00036, 0.00100,

0.00122, 0.00133, 0.01208, 0.00126, 0.00102, 0.00183,

0.00063, 0.00134, 0.00084, 0.00087, 0.00118, 0.00894,

0.00105, 0.00154, 0.02829, 0.00095, 0.05943, 0.07003,

0.00692, 0.03610, 0.00316, 0.06862, 0.00439, 0.08974,

0.01960, 0.00185, 0.00348, 0.03597, 0.00210, 0.03929,

0.03535, 0.01463, 0.02254, 0.00089, 0.01495, 0.00178,

0.00351, 0.10338, 0.13662, 0.00157, 0.07689, 0.07304,

0.00194, 0.00142)

windows(width = 8, height = 7)

u1<-rq(y~x,tau=c(1:10/10-0.05),weights=w)

#note that by taking weights = 500*w the points

#are all moving down (i thought it should have been invariant to the

magnitude of weights) when all the weights remaint the same

plot(x,y,ylim=c(-1000,max(y)))

points(x,u1$fitted.values[,3],col="blue",cex=0.5)

#weighted - fitted values nearly match original values

windows(width = 8, height = 7)

u1<-rq(y~x,tau=c(1:10/10-0.05))

plot(x,y,ylim=c(-1000,max(y)))

points(x,u1$fitted.values[,3],col="blue",cex=0.5)

#unweighted - fitted values form a line

Why the weighted quantile regression does not produce a line?

Thank you for answers.

[[alternative HTML version deleted]]

______________________________________________

[hidden email] mailing list

https://stat.ethz.ch/mailman/listinfo/r-helpPLEASE do read the posting guide

http://www.R-project.org/posting-guide.htmland provide commented, minimal, self-contained, reproducible code.