Confidence Intervals for Quantile Regression

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Confidence Intervals for Quantile Regression

Postby hlearner » Mon Jan 13, 2020 9:38 am

I know I can see a chart of the confidence intervals for various quantile thresholds by going to:
View ->Quantile Process->Process Coefficients-> Graph (specifying my level of confidence.)
How do I see numerically the upper and lower bound of these intervals?
The table, rather than graph, only shows std errors, and the confidence intervals are not symmetric.


EViews Glenn
EViews Developer
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Re: Confidence Intervals for Quantile Regression

Postby EViews Glenn » Mon Jan 13, 2020 10:12 am

We are forming symmetric CIs under the assumption of asymptotic normality, even in the case of bootstrapping, as the latter is for the coefficient covariance and not for the coefficient distribution.

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