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st: RE: f-test after -qreg- or -bsqreg-


From   "Nick Cox" <[email protected]>
To   <[email protected]>
Subject   st: RE: f-test after -qreg- or -bsqreg-
Date   Mon, 12 Dec 2005 14:50:27 -0000

What model is this based on? Gaussian/normal 
errors? If you are prepared to buy that, why
are you doing -qreg-? 

Nick 
[email protected] 

M. Haider Hussain

> After running bootstrapped quantile regression with k=15, n=5401, I
> obtained Pseudo R2=0.3161. If I want to compute the joint significance
> of the regressors, can I still use the F-test given by
> 
> F=[r2/(k-1)]/[(1-r2)/(n-k)]
> 
> If this isn't the case, what's the measure of joint significance of
> the regressors after -qreg- / -bsqreg-?

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