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Hello!

Could you explain, how do you estimate forecast standard errors in Quantile Regression when option "Coef uncertainty in SE calc" is on? I know that in such case in OLS we use (X'X)^(-1) to estimate Forecast SE at each forecast point (the formula is given in User Guide). I suppose that in Qreg you use something similar, but not sure, what is the exact formula.

Thank you

It's really the same idea. We have an estimate of the coefficient variances that mirrors that in the least squares case, except now we are doing the same calculations for the estimate of the quantile.

Thank you! Now I understand it.