Confidence intervals in quantile regression
Posted: Wed Oct 04, 2023 10:42 pm
Hello,
I am wondering how is Eviews12 calculating the confidence intervals for coefficients in the quantile regression?
also on the same line how the probability for Wald test on coefficients is calculated?
I am running a quantile AR model, when I look at the confidence intervals that I obtain for the equation coefficients, several of them are significantly far from 0, however, when I run a Wald test for these coefficients all being equal to zero it results in them being insignificant.
Wald test H0 : c(1)=c(2)=c(3)=0
So I was guessing maybe one of the tests is using a different distribution to decide critical value?
Thank you in advance!
I am wondering how is Eviews12 calculating the confidence intervals for coefficients in the quantile regression?
also on the same line how the probability for Wald test on coefficients is calculated?
I am running a quantile AR model, when I look at the confidence intervals that I obtain for the equation coefficients, several of them are significantly far from 0, however, when I run a Wald test for these coefficients all being equal to zero it results in them being insignificant.
Wald test H0 : c(1)=c(2)=c(3)=0
So I was guessing maybe one of the tests is using a different distribution to decide critical value?
Thank you in advance!