Fitting routine for pfe panel data quantile regression.

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Description

This is the fitting routine used by rqpd and rqpd.boot.

Usage

1
rqpd.fit.pfe(X, Z, y, taus, tauw, lambda, control, ...)

Arguments

X

Main part of the design matrix in csr format

Z

The augmented "panel-part" of the design matrix in csr format.

y

The response vector (non-sparse).

taus

A K-vector of tau's lying in (0,1)

tauw

A K-vector of weights summing to 1.

lambda

Penalty parameter controlling the amount of shrinkage on the fixed effects towards zero.

control

Control argument for the fitting routines (see 'sfn.control').

...

Additional arguments passed to solver.

Value

The function returns a list with coefficients and some information from the solver on convergence.

Author(s)

Roger Koenker and Stefan Bache

Maintainer: Stefan Bache <rqpd@stefanbache.dk>

See Also

rqpd, summary.rqpd, rqpd.object.