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Quantile Regression for Longitudinal Data. Warning message: In rq.fit.sfn

2 messages · dimitris kapetanakis, Roger Koenker

dimitris kapetanakis
# 
Hi,

I am trying to estimate a quantile regression using panel data. I am trying
to use the model that is described in Dr. Koenker's article. So I use the
code the that is posted in the following link:

http://www.econ.uiuc.edu/~roger/research/panel/rq.fit.panel.R

While this code run perfectly, it does not work for my data providing a
warning message:

In rq.fit.sfn(D, y, rhs = a) : tiny diagonals replaced with Inf when calling
blkfct

So I am wondering if I am doing something wrong or if it is data's problem
(which runs perfectly at least for fixed and random effects as well as for
quantile regression adding dummies of states and years just like fixed
effects).

Any help would be highly appreciate

Thanks

Dimitris

######################################
The code that I use before using the link is:

data$lex2<-data$lex^2
data$lex3<-data$lex^3
data$constant<-rep(1,times=length(data$lex))

X<-cbind(data$lex, data$lex2, data$lex3, data$constant)

y<-c(data$ban)

s<-c(data$state)
Roger Koenker
# 
This is a little esoteric for R-help.  As the posting guide says, you  
should
write the package maintainer with this sort of question.  Without the  
data
it is difficult to judge what is happening, a couple of possibilities  
are:

	o  all is well and warning just conveys an exaggerated sense of
		skepticism about one or more of the Cholesky steps,

	o  or, if the coefs really look like nonsense, you have a near  
singularity
		in the design, if so you can try to look in more detail at the dense
		form of design and try to see what the problem is, provided of
		course that it is small enough to look at with the usual tools, svd,  
etc.


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                Champaign, IL 61820
On Sep 30, 2008, at 12:53 PM, dimitris kapetanakis wrote: