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standard error for quantile

2 messages · Roger Koenker, PIKAL Petr

Roger Koenker
# 
Petr,

You can  do:

require(quantreg)
summary(rq(x ~ 1, tau = c(.10,.50,.99))


url:    www.econ.uiuc.edu/~roger            Roger Koenker
email    rkoenker at uiuc.edu            Department of Economics
vox:     217-333-4558                University of Illinois
fax:       217-244-6678                Urbana, IL 61801
On Oct 30, 2012, at 9:37 AM, Bert Gunter wrote:

            

      
      
      
    

        

      
      
    

            

      
      
      
    

        

      
      
    

  
  


  


    

    

      
      

        


  

        

      PIKAL Petr
    

    

      
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Hi Roger

Thanks for your answer. I tried it with partial success. I got values for tau but I did not manage to evaluate errors or variances of these values.

from help page this shall compute median 

rq(rnorm(50) ~ 1, ci=FALSE)

and I assumed some kind of confidence interval is computed when ci=TRUE, but no avail.

In the mean time I have got several other answers which helped me to understand the topic.

Thanks again.

Regards
Petr