This is a nontrivial problem. This comes up often on the Statalist
(-qreg- is for cross-section quantile regression):
"
You want to fit a plane through the origin using the L-1 norm.
This is not as easy as with L-2 norm (LS), as it is more
than a matter of dropping a constant predictor yet otherwise using the
same criterion of fit. You are placing another constraint on a
problem that already does not have a closed-form solution,
and it does not surprise me that -qreg- does not support this.
" (N.J. Cox)
http://www.stata.com/statalist/archive/2007-10/msg00809.html
You will probably have to program this by hand. Note also the
degeneracy conditions in Koenker (2003, pg. 36--). I am not sure how
this extends to panel data though.
References:
@book{koenker2005qre,
title={{Quantile Regression; Econometric Society Monographs}},
author={Koenker, R.},
year={2005},
publisher={Cambridge University Press}
}
T
On Sun, Apr 26, 2009 at 8:24 AM, Helen Chen <96258...@nccu.edu.tw> wrote:
>
> Hi,
>
> I am trying to estimate a quantile regression using panel data. I am trying
> to use the model that is described in Dr. Koenker's article. So I use the
> code the that is posted in the following link:
>
> http://www.econ.uiuc.edu/~roger/research/panel/rq.fit.panel.R
>
> How to estimate the panel data quantile regression if the regression
> contains no constant term? I tried to change the code of rq.fit.panel by
> delect "X=cbind(1,x)" and would like to know is that correct ?
>
>
> Thanks
> I really would appreciate some suggestions.
> Best
> Helen Chen
> --
> View this message in context:
> http://www.nabble.com/Question-of-%22Quantile-Regression-for-Longitudinal-Data%22-tp23239896p23239896.html
> Sent from the R help mailing list archive at Nabble.com.
>
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--
To every ω-consistent recursive class κ of formulae there correspond
recursive class signs r, such that neither v Gen r nor Neg(v Gen r)
belongs to Flg(κ) (where v is the free variable of r).
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