rqPen (version 2.3)

check: Quantile check function

Description

Evaluates the check function for quantile tau at value x. Check function is the objective function defined in Koenker and Bassett (1978).

Usage

check(x, tau)

Value

x*(tau-I(x < 0))

Arguments

x

Number to be evaluated.

tau

Number between 0 and 1 for quantile of interest.

Author

Ben Sherwood

References

[1] Koenker, R. and Bassett, G. (1978). Regression Quantiles, Econometrica, 46, 33--50.

Examples

check(2,.5)
check(-2,.5)
check(2,.2)
check(2,.8)