The PQRFE is R package which solves penalized quantile regression with fixed effects, penalized expectile regression with fixed effects, and penalized M-quantile regression with fixed effects. It is freely available on CRAN: https://cran.r-project.org/web/packages/pqrfe/index.html
I.M. Danilevicz, V.A. Reisen, P. Bondon. Expectile and M-quantile regression for panel data. Statistics and Computing, 2024, 34 (3), pp.97. (https://doi.org/10.1007/s11222-024-10396-7).