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Description
We want to add (fast) support for quantile regression using the Frisch Newton Interior Point Solver from Koenker and Ng.
Additionally, we want to implement the "fast quantile regression process" algo from Chernozhukov et al.
#908 implements the interior point solver in numpy and sets up a quantreg module + quantreg function.
After merging the PR, it will be possible to fit a quantile regression as
import pyfixest as pf
data = pf.get_data()
pf.quantreg("Y ~ X1 + X2", data = data, quantile = 0.35)Reactions are currently unavailable
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