.rqrb0.fast {fastqrs}R Documentation

rqrb0.fast

Description

Algorithm with preprocessing for Rotated Quantile Regression (RQR) for a grid of quantiles, the rotation obtained with a copula and initial values of the beta coefficients (used by Algorithms 3-4).

Usage

.rqrb0.fast(y, x, w = NULL, G, zeta, m, b0)

Arguments

y

= Dependent variable (N x 1)

x

= Regressors matrix (N x K)

w

= Sample weights

G

= Copula conditional on participation (N x Q)

zeta

= Conservative estimate of standard error of residuals

m

= Parameter to select interval of observations in top and bottom groups

b0

= Initial values of the beta coefficients for all quantiles (K x Q)

Value

b = Estimated beta coefficients (K x Q)


[Package fastqrs version 1.0.0 Index]