[R] Quantile regression model with nonparametric effect and interaction

[Waltl, Sofie (sofie.waltl@uni-graz.at)]

Dear all,

I would like to estimate a quantile regression model including a bivariate nonparametric term which should be interacted with a dummy variable, i.e.,
log p ~ year + f(a,b):year.
I tried to use Roger Koenker's quantreg package and the functions rqss and qss but it turns out that interactions are not possible in this setting. Also weights are not implemented yet to build a work-around. I am looking for something like the by-statement in Simon Wood's package mgcv. Does anything comparable exist?
I am grateful for any help on this issue.

Kind regards,
S. Waltl


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