[R] var/cov matrix for a quantile regression model

[roger koenker]

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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