
Dear all,

I need to extract the covariance matrix of my quantile regression estimation to use in a test. My regression is:

qf2_1 <- summary(rq(wb2 ~ apv2 + vol2, tau = phi2[1]), cov = TRUE)

I can extract the covaraince matrix by using: qf2_1 [3]. However, if I try to use it in the test, it does not work. I only need to transform qf2_1[3] in a matrix 3x3. I have already tried: matrix(qf2_1[3], nrow=3, ncol=3) but it also does not work. By using the latter, I find:
     [,1]      [,2]      [,3]     
[1,] Numeric,9 Numeric,9 Numeric,9
[2,] Numeric,9 Numeric,9 Numeric,9
[3,] Numeric,9 Numeric,9 Numeric,9

Is there any other way to do it?

Thanks a lot in advance!

All the best,

Julia






 		 	   		  
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