[R] quantile fixed effects with weights

roger rkoenker at uiuc.edu
Thu Jun 18 16:39:38 CEST 2009


On Jun 18, 2009, at 5:01 AM, alessia matano wrote:

> Dear all,
>
> I 'm implementing the koenker procedure for quantile fixed effects.

Who he?  Wuz 'dat?

> I would like also to apply weights to the procedure, so that to give
> more weight to the observation that better represent my original
> sample (much larger than it is possible to use in R).

This contradicts the principle of the much beloved fortune("This is R")

> Do you know if it is possible?

This contradicts the previous assertion.

> How could I solve this problem?

For positive weights, you can multiply y and X by them, but don't
neglect the intercept, it deserves weight two [sic].  For negative  
weights
you are asking for trouble.
>
> Thank you
> alessia
>
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