[R] quantile regression: error terms

[T.Riedle]

Greetings R Community,

I am running quantile regressions using quantreg in R. I also plot the residuals in a QQplot which indicate fat tails. I would like to try using Student distribution, but I do not know if the R software allows it for my task in hand.

In my opinion it is very likely that there is a structural break and if that is not taken into consideration by the rq() function leading to QQ plots which display nonlinearity. Hence, the model is slightly misspecified.
I was also wondering if I can cope with the nonlinearity by using a sandwich estimate in the summary.rq() function such as "ker".

How can I modify the model to improve the model specification and the standard errors specifications? Can I modify the regression model or do I have to change the method used to compute the error terms in summary.rq()?

Thanks for your feedback.

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