pqrfe - Penalized Quantile Regression with Fixed Effects
Quantile regression with fixed effects is a general model for longitudinal data. Here we proposed to solve it by several methods. The estimation methods include three loss functions as check, asymmetric least square and asymmetric Huber functions; and three structures as simple regression, fixed effects and fixed effects with penalized intercepts by LASSO.
Last updated 2 years ago
openblascpp
1.00 score 1 stars 2 scripts 182 downloadsalqrfe - Adaptive Lasso Quantile Regression with Fixed Effects
Quantile regression with fixed effects solves longitudinal data, considering the individual intercepts as fixed effects. The parametric set of this type of problem used to be huge. Thus penalized methods such as Lasso are currently applied. Adaptive Lasso presents oracle proprieties, which include Gaussianity and correct model selection. Bayesian information criteria (BIC) estimates the optimal tuning parameter lambda. Plot tools are also available.
Last updated 2 years ago
openblascpp
1.00 score 303 downloads