R help - Apr 2009 - Question of "Quantile Regression for Longitudinal Data"

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
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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 <96258011 at 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.
>
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>


-- 
To every ?-consistent recursive class ? of formulae there correspond
recursive class signs r, such that neither v Gen r nor Neg(v Gen r)
belongs to Flg(?) (where v is the free variable of r).

Dear R user,

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

I use plm package to estimate OLS estimators.
Then I ploted the figure with  Quantile estimators and OLS estimators
But the line of Quantile estimators  was not cross  the line of  OLS
estimators.
I don't know why. 
 

OLS estimator is  0.00108194

Quantile estimators with 9 quantiles(0.1 to 0.9) as follow:
  0.0002071648  , 0.0002071899 , 0.0002149157 , 0.0002242560 , 0.0002254730
  0.0002404203 0.000232909 0.0002511185 0.0003015694


 Thanks
 I really would appreciate some suggestions.
 Best
 Helen Chen

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How to solve the panel data of cqr by writing the R code or using the
"quantreg" ?
Thank you!

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