This is an archive of software, figures and text for a paper titled
** Inference on the Quantile Regression Process **
by Roger Koenker and Zhijie Xiao.

A preliminary version of the paper is available here.
The archive format for the paper is postscript
(.ps) and can be obtained by clicking
here,
or in .pdf
here,

Comments are, of course, always welcome.
Data for this project is available in ascii format
here,

Note that the the duration observations have been "dithered" to
avoid some computational difficulties with discretely reported
durations. Software in R is available in the quantreg package
from CRAN.
In addition there is an electronic appendix containing details of
the monte-carlo experiments and the construction of the tables of
critical values. This appendix is available in
here,
or in .pdf
here,

Finally, as a supplement to the empirical section of the paper we
include postscript figures for the deconstruction of the process
generating the test statistics for both the location and location-scale
versions of the test. The two groups of figures come in 6 parts:

1. The full set of 16 coefficient plots of the original QR process with
the OLS line supperimposed.

2. Regression of the slope processes on the intercept process.

3. Standardized residuals of the fit illustrated for joint test in part 2.

4. Standardized residuals of the fit illustrated for coef by coef tests in part 2.

5. Standardized residuals after Khmaladze transformation for joint test in part 2.

6. Standardized residuals after Khmaladze transformation for coef by coef tests in part 2.

The ps figures for the location shift test
are here, and the .pdf here,

The ps figures for the location-scale shift test
are here, and the .pdf here,

These figures may be easily reproduced in R by running the source script
available here.
Problems or questions should be directed to
roger@ysidro.econ.uiuc.edu

The url for this page is: http://www.econ.uiuc.edu/~roger/research/inference/inference.html