li_powell {AdjBQR}R Documentation

Asymmetric-Laplace-type Working Likelihood For Cenaored Quantile Regression

Description

Asymmetric-Laplace-type working likelihood for linear quantile regression with responses subject to left censoring at zero

Usage

li_powell(pars, y, x, tau, sig)

Arguments

pars

regression coefficient vector

y

the response vector

x

the design matrix with one in the first column corresponding to the intercept

tau

the quantile level

sig

scale parameter sigma

Details

The asymmetric-Laplace-type working likelihood is proportional to exponential of the negative Powell objective function for censored quantile regression

Value

the working log (asymmetric Laplace-type) likelihood function (the part involving the regression coefficients)

References

Powell, J. L. (1986). Censored regression quantiles. Journal of Econometrics, 32, 143-155.

Yang, Y., Wang, H. and He, X. (2015). Posterior inference in Bayesian quantile regression with asymmetric Laplace likelihood. International Statistical Review, 2015. doi: 10.1111/insr.12114.


[Package AdjBQR version 1.0 Index]