Re: st: moptimize routine that works with quantile regression?

[Maarten buis <maartenbuis@yahoo.co.uk>]

--- On Mon, 17/1/11, Tatyana Deryugina wrote:
> I'm trying to program a quantile regression algorithm in
> mata, using the moptimize() routine. However, I'm having
> trouble finding an evaluator + technique that leads to
> convergence.

I am not surprised: many maximization techniques require 
first and second derivatives of the objective function 
with respect to the parameters, and quantile regression
has an objective function where these are undefined at
the maximum.

-- Maarten

--------------------------
Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen
Germany

http://www.maartenbuis.nl
--------------------------


      

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