Quantile Regression in GAUSS 19

Choose from two quantile regression functions

  • quantileFit provides parameter estimates and optional bootstrapped confidence intervals and standard errors for conditional quantile regressions.
  • quantileFitLoc estimates local linear and quadratic quantiles for specified quantile points.

Easy implementation

Both functions support formula strings and common default settings for quick estimation:

// Perform quantile regression estimation  
call quantileFit(fname, "ln_wage ~ age + age:age + tenure");

Custom options

  • Bootstrapped parameter confidence intervals and standard errors.
  • Interior point or quadratic programming algorithms.
  • Iteration and results printing.
  • User specified variable names for results printing.