Dear All,

I'm trying to construct confidence interval for an additive quantile regression 
model.

In the quantreg package, vignettes section: Additive Models for Conditional 
Quantiles
http://cran.r-project.org/web/packages/quantreg/index.html

It describes how to construct the intervals, it gives the covariance matrix for 
the full set of parameters, \theta is given by the sandwich formula
V = \tau (1-\tau) (t(X) \phi X)^(-1) (t(X) X)^(-1) (t(X) \phi X)^(-1)
but gives no derivation of this result. 

Does anyone know how to obtain the above results? I need to construct these 
intervals with several adjustments, so I need to understand how "V" is 
constructed. Any proofs?

Thanks, any help is greatly appreciated
Man Zhang


      
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