QUANTILEREG: MATLAB function to estimate quantile regression

Shapour Mohammadi ()

Statistical Software Components from Boston College Department of Economics

Abstract: This Mfile estimates quantile regression based on weighted least squares. This code can be used for quantile regression estimation as whole, and LAD regression as special case of it, when one sets tau=0.5. Coefficients beta are estimated by classical weighted least squares as well as bootstrapping method. Also, Variance- Covariance matrix is calculated by two methods of classical and bootstrapping. Results are presented in command window in addition to matrix formatted results in workspace.

Language: MATLAB
Requires: MATLAB
Keywords: Least Absolute Deviation(LAD) Regression; Quantile Regression; Regression; Robust Estimation (search for similar items in EconPapers)
Date: 2009-07-16

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/q/quantilereg.m program file (text/plain)

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Persistent link: http://EconPapers.repec.org/RePEc:boc:bocode:t741504

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