https://github.com/cran/quantreg
Raw File
Tip revision: b9eecff4551f00d609c3978c3f7bfe0b3fd615a0 authored by Roger Koenker on 18 December 2018, 08:40:03 UTC
version 5.38
Tip revision: b9eecff
RB-r.R
# Convert H_0:  R beta = r  to an exclusion restriction a la Section 3.7.3 of QR book
# Note the typo in the definition of yt in that source!

require(MASS) # For Null
require(quantreg) # For Null
X <- cbind(1, matrix(rnorm(500),100,5))
y <- rnorm(100)
R <- matrix(rnorm(18),3,6)
r <- rep(1,3)
R <- t(R)
P <- Null(R)
Xt <- t(lsfit(P,t(X),intercept = FALSE)$coef)
Zt <- t(lsfit(R,t(X),intercept = FALSE)$coef)
yt <- y - Zt %*% r
f0 <- rq(yt ~ Xt - 1)
f1 <- rq(yt ~ Xt + Zt - 1)
T <- anova(f0,f1)

back to top