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QUANTILEREG: MATLAB function to estimate quantile regression

Author

Listed:
  • Shapour Mohammadi

    (University of Tehran)

Programming Language

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.

Suggested Citation

  • Shapour Mohammadi, 2009. "QUANTILEREG: MATLAB function to estimate quantile regression," Statistical Software Components T741504, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:t741504
    as

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    File URL: http://fmwww.bc.edu/repec/bocode/q/quantilereg.m
    File Function: program file
    Download Restriction: no
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    Cited by:

    1. Fernando Eguren-Martin & Cian O'Neill & Andrej Sokol & Lukas von dem Berge, 2020. "Capital flows-at-risk: push, pull and the role of policy," Bank of England working papers 881, Bank of England.
    2. Fernando Eguren-Martin & Andrej Sokol, 2022. "Attention to the Tail(s): Global Financial Conditions and Exchange Rate Risks," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 70(3), pages 487-519, September.
    3. Eguren-Martin, Fernando & O'Neill, Cian & Sokol, Andrej & von dem Berge, Lukas, 2024. "Capital flows-at-risk: Push, pull and the role of policy," Journal of International Money and Finance, Elsevier, vol. 147(C).

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