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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