IDEAS home Printed from https://ideas.repec.org/c/boc/bocode/t741504.html
 

QUANTILEREG: MATLAB function to estimate quantile regression

Author

Listed:
  • Shapour Mohammadi

    (University of Tehran)

Programming Language

MATLAB

Abstract

This Mfile estimates quantile regression based on weighted least squares. This code can be used for quantile regression estimation as whole, and LAD regression as special case of it, when one sets tau=0.5. Coefficients beta are estimated by classical weighted least squares as well as bootstrapping method. Also, Variance- Covariance matrix is calculated by two methods of classical and bootstrapping. Results are presented in command window in addition to matrix formatted results in workspace.

Suggested Citation

  • Shapour Mohammadi, 2009. "QUANTILEREG: MATLAB function to estimate quantile regression," Statistical Software Components T741504, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:t741504
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/q/quantilereg.m
    File Function: program file
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Eguren-Martin, Fernando & O'Neill, Cian & Sokol, Andrej & von dem Berge, Lukas, 2024. "Capital flows-at-risk: Push, pull and the role of policy," Journal of International Money and Finance, Elsevier, vol. 147(C).
    2. Fernando Eguren-Martin & Andrej Sokol, 2022. "Attention to the Tail(s): Global Financial Conditions and Exchange Rate Risks," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 70(3), pages 487-519, September.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:boc:bocode:t741504. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F Baum (email available below). General contact details of provider: https://edirc.repec.org/data/debocus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.