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2011 Mar 14
0
Question re estimating SE for interquantile regression coefficients
...I would like to estimate the standard error for the difference in interquantile regression coefficients after but do not know how to do so.  For each quantile I estimated the regression coefficent, bootstrapped for the SE and saved the coefficient and then take the difference between the two, e.g. per90<-rq(y~x, tau = c(0.9),data = data, weights= mec), per90<-summary(per90, se = "boot", R=1000, bsmethod=”mcmb”), per90_coeff=coeff(per90))[['x]], diff_per9010=per90_coeff-per10_coeff).  I don't know how to create and save an entire vector of the bootstrapped quantile regressio...