[Insight-users] GLS and quantile regression

[Ma, Lingjie]

Dear Sir/Madam, 

 

I am a Splus user. I am now using the trial version of Splus6.2.   I
have two questions, and wonder if you could clarify. 

 

1.	gls

For GLS,  say, we consider only cross sectional data, that is, the
diagonal variance. I think the appropriate way for such a case is to use
the White estimator or modified version (say, Davidson and MacKinon) of
White estimator. But I could not find any clue on this in the reference
for GLS. 

 

2.	rq (quantile regression)

 

Although the reference has "rq", but when I try to use the command, it
says that the command could not be found. This function has to be loaded
from the library, say, library(rq), in the previous version. I tried the
library(rq), but it did not work. 

 

Thank you very much for the consideration. 

 

Best regards,

 

Lingjie

 

 

Lingjie Ma

Research Manger

PanAgora Asset Management

Boston, MA

lma at uiuc.edu

617-439-6374

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