Re: [R] rqss help in Quantreg

From: Roger Koenker <rkoenker_at_illinois.edu>
Date: Sun, 29 May 2011 02:48:52 -0500

This is _not_ a reproducible example so one can only guess, but the fact that with returns "the analysis goes" suggests that there is something amiss with your price variable.

Roger Koenker
rkoenker_at_illinois.edu

On May 28, 2011, at 1:47 PM, Sergius Cerice wrote:

> Dear All,
>
> I,m trying to fulfill a constraint nonparametric quantile regression
> analysis for monthly stock index and gdp (159 cases of data) using rqss
> function of quantreg package. I need to specify that stock prices are
> nondecreasing with growing gdp.
>
> I tried the following simple code
>
> fit1<-rqss(stock~gdp)
> fit2<-rqss(stock~qss(gdp,constraint="I")+time)
>
> but R produces an error message
>
> for the firsts line of the code
> Error in rqss.fit(X, Y, tau = tau, rhs = rhs, nsubmax = nsubmax, nnzlmax =
> nnzlmax, :
> object 'rhs' is not found
>
> for the second line of the code
> Error in D %*% B : NA/NaN/Inf when calling external function (argument 7)
>
> If I use returns instead of prices, the analysis goes. But I need to regress
> prices.
> What is wrong in my specification? Are there any restrictions in the rqss
> approach?
>
> --
> View this message in context: http://r.789695.n4.nabble.com/rqss-help-in-Quantreg-tp3392770p3557884.html
> Sent from the R help mailing list archive at Nabble.com.
> [[alternative HTML version deleted]]
>
> ______________________________________________
> R-help_at_r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.



R-help_at_r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. Received on Sun 29 May 2011 - 07:52:43 GMT

This quarter's messages: by month, or sorted: [ by date ] [ by thread ] [ by subject ] [ by author ]

All messages

Archive maintained by Robert King, hosted by the discipline of statistics at the University of Newcastle, Australia.
Archive generated by hypermail 2.2.0, at Sun 29 May 2011 - 11:30:10 GMT.

Mailing list information is available at https://stat.ethz.ch/mailman/listinfo/r-help. Please read the posting guide before posting to the list.

list of date sections of archive