RQCI

Confidence Intervals for Quantile Regression

 

This is an archive of software and text for the paper Confidence Intevals for Quantile Regression by Roger Koenker. This paper appears in the in 1994 Proceedings of the 5th Prague Symposium on Asymptotic Statistics, P. Mandl and M. Huskova (eds), Heidelberg: Physica-Verlag.

The text of the paper is in pdf and can be obtained by clicking here.

The archive of the software for the paper is available as a group of Splus functions with an underlying fortran function which may be dynamically loaded by Splus. This archive is also in SHAR format and can be obtained by clicking here. If the SHAR format does not appeal to you (i.e you are a PC user), here is the same group of files in ZIP format.

The ascii readme file describing the the contents of the software archive can be viewed by clicking here
. This software is also available from statlib. A second software archive consisting of the higher level routines used to generate the monte carlo results in the paper is also avaliable in unix tar format here.
This archive contains several variants of the bootstrap for quantile regression.

Problems or questions regarding this software should be directed to roger@ysidro.econ.uiuc.edu
This software may be redistributed for any non-commercial purpose.