[R] algorithmic method quantile regression

[Roger Koenker]

Did you read item 1 in the quantreg FAQ()?  


url:    www.econ.uiuc.edu/~roger            Roger Koenker
email    rkoenker at uiuc.edu            Department of Economics
vox:     217-333-4558                University of Illinois
fax:       217-244-6678                Urbana, IL 61801

> On Oct 14, 2015, at 2:56 PM, T.Riedle <tr206 at kent.ac.uk> wrote:
> 
> Greetings R Community,
> I am trying to run a quantile regression using the quantreg package. My regression includes 7 independent variables with approx. 800 daily observations each. Thus, I think that the Barrodale and Roberts algorithm should do the trick. However, the Frisch-Newton after preprocessing returns different results and more significant coefficients than the br method. Which algorithmic method should I use now? Do the results mean that the Frisch-Newton after preprocessing dominates the br method?
> 
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