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Confidence interval on quantile regression predictions
2 messages · Davey, Andrew, Roger Koenker
You need to add explicitly newdata = list(x=x) and if you want percentile method you also need se = "boot". Roger Koenker rkoenker at illinois.edu
On Jan 11, 2011, at 3:54 AM, Davey, Andrew wrote:
I am using the quantreg package to build a quantile regression model and
wish to generate confidence intervals for the fitted values.
After fitting the model, I have tried running predict() and
predict.rq(), but in each case I obtain a vector of the fitted values
only.
For example:
library(quantreg)
y<-rnorm(50,10,2)
x<-seq(1,50,1)
model<-rq(y~x,tau=0.5,method="br",model=TRUE)
model$fitted
predict(model,type=c("percentile"),interval=c("confidence"),level=0.95)
#returns same output as model$fitted
Am I missing something obvious? I have tried altering the settings for
the type and interval arguments but without success.
(I am running R v 2.10.1).
Thank you for your help.
Regards,
Andrew Davey
Senior Consultant
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