
Dear all,
I am currently running an experiment using quantile regression. In order to get more accurate results for a hypothesis test, I need to run a bootstrapping version of quantile regression and I need to find the estimated covariance matrix among all the coefficients for several quantiles to include in my test statistic (Wald). Therefore, I need to split the estimated covariance matrix into its constituent parts (Hinv and J) in order to construct such matrix. However, it is documented in R that it is not possible to split the estimated covariance matrix when using se=boot.
Is there any alternative way to find an estimate of the covariance matrix using bootstrapping quantile regression?
Thanks a lot in advance.
All the best,
Julia 		 	   		  
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