Hi,
Can you please provide any resource where I can find the steps of computing the p-value for checking the significance of explanatory variable in the quantile regression function of statsmodel?
Hi,
Can you please provide any resource where I can find the steps of computing the p-value for checking the significance of explanatory variable in the quantile regression function of statsmodel?
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quick answer:AFAIR, it's described in the Stata docs, page 27 of
On Fri, Nov 4, 2022 at 10:10 AM <josef...@gmail.com> wrote:quick answer:AFAIR, it's described in the Stata docs, page 27 ofThe code for cov_params is in the next few lines here https://github.com/statsmodels/statsmodels/blob/main/statsmodels/regression/quantile_regression.py#L195The docstring saysThe asymptotic covariance matrix is estimated following the procedure in
Greene (2008, p.407-408), using either the logistic or gaussian kernels
(kernel argument of the fit method).but it's based on the approach in more recent version of Stata.for example, the default kernel is Hall-Sheather, AFAICS/AFAICR.
SO, after estimating the variance covariance matrix, you go for using t-test, just like it is being used in usual linear regression models, correct?
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