bayesQR

Bayesian quantile regression using the asymmetric Laplace distribution, both continuous as well as binary dependent variables are supported. The package consists of implementations of the methods of Yu & Moyeed (2001) doi:10.1016/S0167-7152(01)00124-9, Benoit & Van den Poel (2012) doi:10.1002/jae.1216 and Al-Hamzawi, Yu & Benoit (2012) doi:10.1177/1471082X1101200304. To speed up the calculations, the Markov Chain Monte Carlo core of all algorithms is programmed in Fortran and called from R.

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