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
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