# Example rqss vs rq.fit.panel vs rq.fit.lasso # Slightly modified version of a test problem of Stefan Bache and co. require(quantreg) source("rq.fit.panel.R") set.seed(1917) tt <- 3 # time periods nn <- 3 # individuals # Generate some data: some.data <- data.frame( id=rep(1:nn, each=tt) #ids ,ic=1 #intercept ,x1=rnorm(nn*tt) #regressors ,x2=runif(nn*tt) ,alpha=rep(runif(nn)*2 ,each=tt) #fixed effects ) # response: some.data\$y <- some.data\$x1 + some.data\$x2 + some.data\$alpha + rnorm(nn*tt) lambda <- .2 tau <- 0.25 # Fit with rq.fit.panel fit1 <- rq.fit.panel(cbind(1, some.data\$x1, some.data\$x2), some.data\$y ,rep(1:nn, each=tt) ,tau=tau ,w=1 ,lambda=lambda) # fit with rqss (using the global debug variable from the panel function # so remember to run that too! :-) : fit2 <- rqss(y ~ ic + x1 + x2 + as.factor(id) - 1 ,data=some.data ,method="lasso" ,tau=tau ,lambda=c(0, 0, 0, rep(lambda, nn))) # fit with rq.lasso fit3 <- rq(y ~ ic + x1 + x2 + as.factor(id) - 1 ,data=some.data ,tau=tau ,method="lasso" ,lambda=c(0, 0, 0, rep(lambda, nn))) # Print coefficients for comaparison. comparefit <- function() { compmat <- cbind(fit1\$coef,fit2\$coef, fit3\$coef) colnames(compmat) <- c("rq.fit.panel", "rqss", "rq.fit.lasso") noquote(formatC(compmat, format="f", digits=8, width=12)) } cat("all(rq.fit.panel\$coef==rq\$coef): ", all.equal(fit1\$coef,fit3\$coef), "\n") cat("all(rq.fit.\$coef==rqss\$coef): ", all.equal(fit2\$coef,fit3\$coef), "\n") cat("all(rqss\$coef==rq.fit.panel\$coef): ", all.equal(fit2\$coef,fit1\$coef), "\n")