test.bootwrq {weightQuant}

Test of covariate effects between different quantiles

Description

This function provides a test for the covariate effects estimated for different quantiles.

Usage

test.bootwrq(x, m)

Arguments

x

results from bootstrap estimations obtained with bootwrq function

m

a quantile regression model estimated with rq function from quantreg package. At least 2 quantiles should be specified in rq function.

Details

For 2 quantiles tau1 and tau2, the test of the null hypothesis H0 : b_tau1 = b_tau2 is obtained with the following procedure : 1. estimate the difference diff = b_tau1 - b_tau2 on the initial sample (ie from model m) 2. estimate the difference diff_b = b_tau1^b - b_tau2^b on each of the B bootstrap samples 3. compute se_diff, the empirical standard error of these B differences 4. the associated p-value is obtained with the Gaussian assumption ( p-value = 2*P(N(0,1) > abs(diff/se_diff)) )

Value

A list containing :

results0

a matrix with 3 columns containing the results (difference of the coefficients, standard erros of the diffrence and assocated p-values) without computing the weights in each bootstrap sample. Or NULL if the bootstrap results are obtained with wcompute=1.

results1

a matrix with 3 columns containing the results (difference of the coefficients, standard erros of the diffrence and assocated p-values) with re-estimated weights on each bootstrap sample. Or NULL if the bootstrap results are obtained with wcompute=0.

Author(s)

Viviane Philipps