Dear Julia,

One approach would be to fit a combined model for the two samples, with a

factor (say, sample) and all interactions between sample and the other

predictors -- something like rq(y ~ sample*(x1 + x2 + etc.)) -- and then

compare via anova() to the additive model rq(y ~ sample + x1 + x2 + etc.)

or, if you're interested in a difference in the intercepts and well as

coefficients of the x's (as implied by your formulation), to rq(y ~ x1 + x2

+ etc.).

I hope this helps,

John

--------------------------------

John Fox

Senator William McMaster

Professor of Social Statistics

Department of Sociology

McMaster University

Hamilton, Ontario, Canada

http://socserv.mcmaster.ca/jfox> -----Original Message-----

> From:

[hidden email] [mailto:r-help-bounces@r-

> project.org] On Behalf Of Julia Lira

> Sent: November-19-11 6:49 AM

> To: R list

> Subject: [R] wald test: compare quantile regression estimators from

> different samples

>

>

> Dear all,

> I am trying to compare the estimated coefficients of a quantile

> regression model between two different samples. It is a Wald test, but

> I cannot find one way to do that in R.The samples are collected

> conditional on a specific characteristic and I would like to test

> whether such characteristic indeed affect the estimators. The problem

> in the test anova.rq is that the response variable should be the same,

> therefore I cannot use different samples.

> Consider as an example the following:

> Model 1:Q_y(tau|X,I=2) = X'beta(tau|I=2)

> Model2;Q_y(tau|X,I=3) = X'beta(tau|I=3)

> The first sample consider I=2 and the second I=3. I would like to test

> whether, at the quantile "tau", beta(tau|I=2) = beta(tau|I=3).

> I have already tried to design a Wald test like:

> W <- ((beta(tau|I=2)-beta(tau|I=3))^2)/var(beta(tau|I=2)-beta(tau|I=3))

> But it doesn't work because var(beta(tau|I=2)-beta(tau|I=3)) is equal

> to NA.

> Is there any way to compare those estimators?

> Thank you very much!

> Best regards,

> Julia

> [[alternative HTML version deleted]]

>

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