Webpage for: Inference on the QR Process

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