plot.summary.rqs: Visualizing sequences of quantile regression summaries

Description

A sequence of coefficient estimates for quantile regressions with varying tau parameters is visualized along with associated confidence bands.

Usage

# S3 method for summary.rqs
plot(x, parm = NULL, level = 0.9, ols = TRUE,
  mfrow = NULL, mar = NULL, ylim = NULL, main = NULL,
  col = gray(c(0, 0.75)), border = NULL, lcol = 2, lty = 1:2,
  cex = 0.5, pch = 20, type = "b", xlab = "", ylab = "", ...)

Value

A list with components z, an array with all coefficients visualized (and associated confidence bands), and Ylim, a 2 by p matrix containing the y plotting limits. The latter component may be useful for establishing a common scale for two or more similar plots. The list is returned invisibly.

Arguments

x: an object of class "summary.rqs" as produce by applying the summary method to a rq object (with a vector of tau values).
parm: a specification of which parameters are to be plotted, either a vector of numbers or a vector of names. By default, all parameters are considered.
level: Confidence level of bands. When using the rank based confidence intervals in summary, which is the default method for sample sizes under 1000, you will need to control the level of the intervals by passing the parameter alpha to summary.rq, prior to calling plot.summary.rqs. Note also that alpha = 1 - level.
ols: logical. Should a line for the OLS coefficient and their confidence bands (as estimated by lm) be added?
mfrow, mar, ylim, main: graphical parameters. Suitable defaults are chosen based on the coefficients to be visualized. It can be useful to use a common vertical scale when plotting as a way of comparing confidence bands constructed by different methods. For this purpose one can specify a ylim as a 2 by length(parm) matrix.
col: vector of color specification for rq coefficients and the associated confidence polygon.
border: color specification for the confidence polygon. By default, the second element of col is used.
lcol, lty: color and line type specification for OLS coefficients and their confidence bounds.
cex, pch, type, xlab, ylab, ...: further graphical parameters passed to points.

Details

The plot method for "summary.rqs" objects visualizes the coefficients along with their confidence bands. The bands can be omitted by using the plot method for "rqs" objects directly.

Examples

Run this code

## fit Engel models (in levels) for tau = 0.1, ..., 0.9
data("engel")
fm <- rq(foodexp ~ income, data = engel, tau = 1:9/10)
sfm <- summary(fm)

## visualizations
plot(sfm)
plot(sfm, parm = 2, mar = c(5.1, 4.1, 2.1, 2.1), main = "", xlab = "tau", 
  ylab = "income coefficient", cex = 1, pch = 19)