optim_mqrlasso {pqrfe}

optim M-quantile regression with fixed effects and LASSO

Description

This function solves a M-quantile regression with fixed effects and LASSO

Usage

optim_mqrlasso(beta, alpha, x, y, z, tau, N, d, n, c)

Arguments

beta

Numeric vector, initials values beta.

alpha

Numeric vector, initials values alpha.

x

Numeric matrix, covariates.

y

Numeric vector, output.

z

Numeric matrix, incidence matrix.

tau

Numeric scalar, the percentile.

N

Numeric integer, sample size.

d

Numeric integer, X number of columns.

n

Numeric integer, length of alpha.

c

Numeric, positive real value.

Value

parametric vector and residuals.