Overview: This package computes the Quantile Regression with Selection (QRS) estimator proposed by Arellano and Bonhomme (2017). Instead of using the algorithm originally proposed by those authors, it is based on a faster algorithm that attains a smaller computation time through the use of preprocessing techniques and quantile grid reduction.
Installation: Provide instructions for installation via CRAN or GitHub if the package is not yet on CRAN.[...]
Usage: A simple example is included in the package under the name example.r. It applies the estimation algorithm to obtain the estimates of the QRS estimator with the Mroz87 data set.
License: GNU.
Citation: The working paper version of the article can be accessed at https://arxiv.org/abs/2402.16693. Cite as Pereda-Fernández, S. (2024). Fast Algorithms for Quantile Regression with Selection. arXiv preprint arXiv:2402.16693.