R help - Jan 2011 - Confidence interval on quantile regression predictions

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

Tel:	+ 44 (0) 1793 865023
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E-mail:	andrew.davey@wrcplc.co.uk
Website:	www.wrcplc.co.uk
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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
> 
> Tel:	+ 44 (0) 1793 865023
> Mob:                +44 (0) 7747 863190
> Fax:	+ 44 (0) 1793 865001
> E-mail:	andrew.davey at wrcplc.co.uk
> Website:	www.wrcplc.co.uk
> P Before printing, please think about the environment.
> 
>
-------------------------------------------------------------------------------------------
> To read our latest newsletter visit
http://www.wrcplc.co.uk/default.aspx?item=835 - Keeping our clients up-to-date
with WRc's business developments
>
-------------------------------------------------------------------------------------------
> Visit our websites www.wrcplc.co.uk and www.wrcnsf.com, as well as
www.waterportfolio.com for collaborative research projects.
>
-------------------------------------------------------------------------------------------
> The Information in this e-mail is confidential and is intended solely for
the addressee. Access to this e-mail by any other party is unauthorised. If you
are not the intended recipient, any disclosure, copying, distribution or any
action taken in reliance on the information contained in this e-mail is
prohibited and maybe unlawful. When addressed to WRc Clients, any opinions or
advice contained in this e-mail are subject to the terms and conditions
expressed in the governing WRc Client Agreement.
>
-------------------------------------------------------------------------------------------
> WRc plc is a company registered in England and Wales. Registered office
address: Frankland Road, Blagrove, Swindon, Wiltshire SN5 8YF. Company
registration number 2262098. VAT number 527 1804 53.
>
-------------------------------------------------------------------------------------------
> 	[[alternative HTML version deleted]]
> 
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