[R] Confidence interval on quantile regression predictions

[Roger Koenker]

You need to add explicitly newdata = list(x=x) and if you want percentile method you also
need se = "boot".  


Roger Koenker
rkoenker at illinois.edu

On Jan 11, 2011, at 3:54 AM, Davey, Andrew wrote:

> I am using the quantreg package to build a quantile regression model and
> wish to generate confidence intervals for the fitted values.
> 
> After fitting the model, I have tried running predict() and
> predict.rq(), but in each case I obtain a vector of the fitted values
> only.
> 
> For example:
> 
> library(quantreg)
> y<-rnorm(50,10,2)
> x<-seq(1,50,1)
> model<-rq(y~x,tau=0.5,method="br",model=TRUE)
> model$fitted
> predict(model,type=c("percentile"),interval=c("confidence"),level=0.95)
> #returns same output as model$fitted
> 
> Am I missing something obvious? I have tried altering the settings for
> the type and interval arguments but without success.
> 
> (I am running R v 2.10.1).
> 
> Thank you for your help.
> 
> Regards,
> 
> 
> Andrew Davey
> Senior Consultant
> 
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