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

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