lundi 20 juillet 2020

In a quantile regression ,how Can I estimate the var-cov matrix to run the wald test between quantiles

I estimated the quantile regression for {0.25 0.5 0.75} quantiles. I have the betas, the var-cov for each quantile. How can I do the wald test between quantiles. Should i estimate the whole var-cov matrix between quantiles. If yes, How can i do that. I'm coding in Matlab. Thank you.

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