In quantile regression, you don't have R-squared or adjusted R-squared. It's only pseudo R squared and is not reported in rq
as you would expect when you use summary
in lm
, but you can compute it as follows after estimation of the model bank.
rho <- function(u,tau=.5)u*(tau - (u < 0))
V <- sum(rho(bank$resid, bank$tau))
This is the answer provided by the author of the package "quantreg" here