[R] Quantile Regression: Measuring Goodness of Fit

From: Efferz, Martin <efferz_at_finance.uni-mainz.de>
Date: Fri 27 Oct 2006 - 15:26:31 GMT


how to measure the goodness of fit, when using the rq() function of quantreg? I need something like an R^2 for quantile regression, a single number which tells me if the fit of the whole quantile process (not only for a single quantile) is o.k. or not. Is it possible to compare the (conditional) quantile process with the (unconditional) empirical distribution function? Perhaps with a Chi^2 or Kolmogorv-Smirnov Test?  

Thanks for feedback.  


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