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I'm again trying out some simulated examples for quantile regression.
We should get some basic diagnostic plots for it.
general diagnostic based on variable addition Wald test, e.g. linearity tests
Variable addition Wald tests are easy to compute by user, but maybe we can have some automatic, e.g. against spline alternatives, reset test (with power of linpred)
Example:
variance is quadratic in linear predictor in DGP, but we estimate quantile regression linear in variables
plt.plot(fitted, fitted - y, "o")
plt.plot(fitted, np.zeros(len(fitted)))
The text was updated successfully, but these errors were encountered:
I'm again trying out some simulated examples for quantile regression.
We should get some basic diagnostic plots for it.
general diagnostic based on variable addition Wald test, e.g. linearity tests
Variable addition Wald tests are easy to compute by user, but maybe we can have some automatic, e.g. against spline alternatives, reset test (with power of linpred)
Example:
variance is quadratic in linear predictor in DGP, but we estimate quantile regression linear in variables
The text was updated successfully, but these errors were encountered: