You want to fit a plane through the origin using the L-1 norm.
This is not as easy as with L-2 norm (LS), as it is more
than a matter of dropping a constant predictor yet otherwise using the
same criterion of fit. You are placing another constraint on a
problem that already does not have a closed-form solution,
and it does not surprise me that -qreg- does not support this.
I was going to suggest -rreg- instead but that does not
seem to help either. I guess you would need to set up
your problem, say using Mata in Stata 10.
Nick
[email protected]
Stefan Henschke
I have a question concerning the quantile regression.
I want to estimate something like:
qreg depvar indepvar1 indepvar2
with no other options specified.
Now my problem:
Is it possible to suppress the intercept?
I know how it is done using the regress command (using the [noconstant]
option), but I cant find any corresponding option for this in the qreg help
file. Is there *any* solution to this problem?
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
