L1-penalised lasso quantile regression

Hi everyone,

I was wondering if there is a code for estimating a penalized lasso quantile regression as described in

Belloni A, Chernozhukov V. 2011. `1-penalized quantile regression in high-dimensional sparse models. Annals of Statistics 39: 82–130.

(or if there is a way to modify the lasso function from matlab or the quantreg from file exchange in order to achieve the same result).

Thank you in advance!

Answer 1

[yiran he]

you can find it on this website https://faculty.fuqua.duke.edu/~abn5/belloni-software.html

[Stéphane Surprenant]

I don't know what was the status of hyperlinks in January, but the link for SDPT3 is broken... So, I don't know if it will be possible to run the code as is, although I think this is available here: SDPT3.

[Stepp Gyogi]

Actually, it seems SDPT 3.4 is required (cf. https://github.com/ctbrownlees/gar-replication).