QUANTILEREG: MATLAB function to estimate quantile regression
This Mfile estimates quantile regression based on weighted least squares. This code can be used for quantile regression estimation as whole, and LAD regression as special case of it, when one sets tau=0.5. Coefficients beta are estimated by classical weighted least squares as well as bootstrapping method. Also, Variance- Covariance matrix is calculated by two methods of classical and bootstrapping. Results are presented in command window in addition to matrix formatted results in workspace.
Least Absolute Deviation(LAD) Regression, Quantile Regression, Regression, Robust Estimation
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