Dear All, A while ago someone posted a message on whether anyone had a do file to plot the coefficients of a given independent variable from a set of quantile regressions. I could not find a response. An example is shown on page 150, Figure 4, in Koenker and Hallock's (2001) Quantile Regression article in the Journal of Economic Perspectives, 15(4), 143-156. The figure also has 90% pointwise confidence bands (their example is based on 19 regression runs, going from the .05 to the .95 quantile).
Does anyone know how to do these graphs? Thanks, Jose Pagan.
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