Model configurations for panel methods in rqpd

Description

This function creates a configuration list for use with rqpd. For unspecified options defaults will be used.

Usage

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  panel(method="pfe", taus=1:3/4, tauw=c(.25,.5,.25), 
    lambda=1, cre="m", ztol=1e-5)

Arguments

method

Either "pfe" for the penalized fixed-effects model by Koenker (2004) or "cre" for a correlated-random-effects model, see Abrevaya and Dahl (2008) and Bache et al. (2011).

taus

Used when method="pfe". A K-vector of tau's lying in (0,1). For the pfe model, the coefficients of the covariate effects before the bar are allowed to vary with these tau's, whereas the fixed effect coefficients on the model specification after the bar are assumed to be independent of tau. For a CRE specification all coefficients vary with these taus.

tauw

Used when method="pfe". Weights for each component of the objective function which determine the impact for each tau used for estimation.

lambda

The (non-negative) penalty parameter used in the pfe method to shrink fixed-effects toward zero.

cre

Used if method="cre" with value "m" og "ad". If a CRE model is specified, this determines the type of CRE variables included in the model. When "m" is used (default), then time-means of the relevant variables are included, and when "ad" is used then the specification by Abrevaya and Dahl (2008) is used. This latter option requires a balanced panel.

ztol

Used when method="pfe". A parameter controlling the tolerance determining how close estimated coefficients need to be to zero to be considered zero.

Value

A named list with configuration options for rqpd.

See Also

rqpd.

Examples

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  p <- panel(taus=1:5/4, tauw=rep(1/5, 5))
  # fit <- rqpd(formula, p, data=data)