Can I obtain upper/lower bounds for my coefficients when running a quantile regression on a panel using the rqpd-package?
The following is the setup (be nice, I am a beginner with R):
s = as.factor(rep(1:30,rep(63,30)))
s = as.matrix(s)
fit = rqpd(formula = y ~ x | s, panel = panel(lambda = 1, taus=c(0.1, 0.2, 0.3, 0.4, 0.5, 0.6, 0.7, 0.8, 0.9, 0.95), tauw=c(0.1, 0.2, 0.3, 0.4, 0.5, 0.6, 0.7, 0.8, 0.9, 0.95)), data = pdata, control = list(tmpmax = 500))
capture.output(summary(fit), file = "QR.txt")
The code works well and the output provides me with the usual, coefficients, t-values, p-values and so on. But I wish to figure out the upper and lower bounds for my SE for a 95% significance.
Using rq from the package quantreg I can extract the upper/lower bounds by capturing the output from:
fit = rq(y~z, tau = taeus)
plot.fit = summary(fit)
capture.output(plot.fit, file = "BOUNDS.txt")
However this is not applicable for the paneldata I am currently looking at. Do you guys have any pointers?
