quantreg_spacing: Lower level function which calculates the quantile spacing...

In be-green/quantspace: Quantile Regression via Quantile Spacing

Lower level function which calculates the quantile spacing regression coefficients

Description

Lower level function which calculates the quantile spacing regression coefficients

Usage

quantreg_spacing(
  y,
  X,
  var_names,
  alpha,
  jstar,
  algorithm = "rq.fit.sfn",
  weights = NULL,
  control = list(small = 1e-06, trunc = TRUE, start_list = NA, output_quantiles =
    FALSE, calc_avg_me = FALSE, calc_r2 = T),
  ...
)

Arguments

y	Column of response variable.
X	Regression specification matrix.
var_names	RHS regression variable names.
alpha	Quantiles to be estimated.
jstar	First quantile to be estimated (usually the center one)
algorithm	The name of a function which will estimate a quantile regression. Defaults to rq.fit.sfn_start_val. Must be a string, as it is passed to do.call
weights	vector of optional weights
control	control parameters to pass to the control arguments of quantreg_spacing, the lower-level function called by qs. This is set via the function qs_control, which returns a named list, with elements including: trunc: whether to truncate residual values below the argument "small" small: level of "small" values to guarentee numerical stability. If not specified, set dynamically based on the standard deviation of the outcome variable. output_quantiles: whether to save fitted quantiles as part of the function output calc_avg_me: whether to return average marginal effects as part of the fitted object lambda: the penalization factor to be passed to penalized regression algorithms
...	other parameters passed to the algorithm
small	Minimum size of residuals for computational accuracy.
trunc	Boolean value; if true, replace those dependent values less than small with small itself; else, only use rows with residuals greater than small
start_list	Starting values for regression optimization.

Value

Returns a list of coefficients. num_betas is an x by p matrix of estimated parameters for each supplied quantiles. pseudo_r is a 1 by p matrix of psuedo R^2 values for each quantile estimate. warnings is a 1 by p matrix of warnings produced by each quantile regression call. iter: is a 1 by p matrix of iterations ran by each quantile regression call.

be-green/quantspace documentation built on March 20, 2024, 5:30 p.m.