I would like to analyse my data using quantile regression with random effect. The problem is I have also categorical covariates, which will "split" the output into corresponding levels. I would like to test the coefficients jointly, to assess the overall main effect of a covariate. Is there any method, ideally in R, that allows me to do that?
You know, something "in spirit of the ANOVA" in parametric models, which assesses the residual deviance, so I can compare nested models, and see if a removed effect changed something, but now dealing with quantiles (medians) rather than (predicted) means?
