Model Assessment in Quantile regression

[Amaa Ahmed]

Hello everyone,
I would like to ask if anyone can help me to calculate the R2, RMSE after quantile regression.
Thank you

[Joao Santos Silva]

Dear Amaa Ahmed,

The help file of user-written qreg2 command states that it reports an R-squared, defined as the square of the correlation between the fitted values and the dependent variable, but warns that in quantile regressions the R-squared is even less meaningful than usual. You can also compute the RMSE using the dependent variables and its fitted values, but again this will not be very meaningful.

Best wishes,

Joao

[Amaa Ahmed]

@Joao thank you for you reply. so how to test the model assessment when R-squared and RMSE are less meaningful here?

[Joao Santos Silva]

You can use a RESET test.

[Amaa Ahmed]

@Joao Santos Silva thank you so much