R help - Sep 2007 - var/cov matrix for a quantile regression model

Dear all,
 
I'm trying to get the variance/covarince matrix after fitting a
quantile regression model (either linear or non linear), in order to get
the variance of my predictions and be able to calculate the median
squared error.
The commands working for the lm models (corr=T or vcov=T) do not  seem
to work for the rq models.
 
Could you advise me a way of getting it?
 
Best regards
 
Costanza Pizzi
Medical Statistics Unit, LSHTM, London

	[[alternative HTML version deleted]]

You need to say

	summary(rq(....),cov=TRUE)$cov

see

	?summary.rq

for further details.

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                Champaign, IL 61820


On Sep 17, 2007, at 12:10 PM, Costanza Pizzi wrote:
> Dear all,
>
> I'm trying to get the variance/covarince matrix after fitting a
> quantile regression model (either linear or non linear), in order  
> to get
> the variance of my predictions and be able to calculate the median
> squared error.
> The commands working for the lm models (corr=T or vcov=T) do not  seem
> to work for the rq models.
>
> Could you advise me a way of getting it?
>
> Best regards
>
> Costanza Pizzi
> Medical Statistics Unit, LSHTM, London
>
> 	[[alternative HTML version deleted]]
>
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