R Under development (unstable) (2024-10-21 r87258 ucrt) -- "Unsuffered Consequences"
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> # Example rqss vs rq.fit.panel vs rq.fit.lasso  
> # Slightly modified version of a test problem of Stefan Bache and co.
> require(quantreg)
Loading required package: quantreg
Loading required package: SparseM
> source("rq.fit.panel.R")
> set.seed(1917)
> 
> tt <- 3   # time periods
> nn <- 3  # individuals
> 
> #  Generate some data:
> some.data <- data.frame(
+     id=rep(1:nn, each=tt)             #ids
+    ,ic=1                              #intercept
+    ,x1=rnorm(nn*tt)                   #regressors
+    ,x2=runif(nn*tt)
+    ,alpha=rep(runif(nn)*2 ,each=tt)   #fixed effects
+ )
> 
> # response:
> some.data$y <- some.data$x1 + some.data$x2 + some.data$alpha + rnorm(nn*tt)
> 
> lambda <- .2
> tau <- 0.25
> 
> 
> # Fit with rq.fit.panel
> fit1 <- rq.fit.panel(cbind(1, some.data$x1, some.data$x2), some.data$y
+             ,rep(1:nn, each=tt)
+             ,tau=tau
+             ,w=1
+             ,lambda=lambda)
> 
> # fit with rqss (using the global debug variable from the panel function
> # so remember to run that too! :-) :
> fit2 <- rqss(y ~ ic + x1 + x2 + as.factor(id) - 1 
+             ,data=some.data
+             ,method="lasso"
+             ,tau=tau
+             ,lambda=c(0, 0, 0, rep(lambda, nn)))
> 
> # fit with rq.lasso
> fit3 <- rq(y ~ ic + x1 + x2 + as.factor(id) - 1 
+             ,data=some.data
+             ,tau=tau
+             ,method="lasso"
+             ,lambda=c(0, 0, 0, rep(lambda, nn)))
> 
> # Print coefficients for comaparison.
> comparefit <- function()
+ {
+   compmat <- cbind(fit1$coef,fit2$coef, fit3$coef)
+   colnames(compmat) <- c("rq.fit.panel", "rqss", "rq.fit.lasso")
+   noquote(formatC(compmat, format="f", digits=8, width=12))
+ }
> 
> cat("all(rq.fit.panel$coef==rq$coef): ", all.equal(fit1$coef,fit3$coef), "\n")
all(rq.fit.panel$coef==rq$coef):  names for current but not for target Mean relative difference: 6.241408e-07 
> cat("all(rq.fit.$coef==rqss$coef): ", all.equal(fit2$coef,fit3$coef), "\n")
all(rq.fit.$coef==rqss$coef):  Mean relative difference: 6.241408e-07 
> cat("all(rqss$coef==rq.fit.panel$coef): ", all.equal(fit2$coef,fit1$coef), "\n")
all(rqss$coef==rq.fit.panel$coef):  names for target but not for current 
> 
> 
> proc.time()
   user  system elapsed 
   1.65    0.32    1.96