how to extract upper/lower bounds on coefficients from quantile regression rq()

quantile, quantreg, r, regression

Solution

I'm assuming you just want the coefficients on the non-intercept term. How about this

sapply(sf, function(x) c(tau=x$tau, x$coefficients[-1, ]))

That will iterate over the different levels of `tau` and extract the intervals for the coefficients

                  [,1]      [,2]      [,3]      [,4]      [,5]      [,6]
tau          0.0500000 0.1000000 0.2500000 0.7500000 0.9000000 0.9500000
coefficients 0.3433611 0.4017658 0.4741032 0.6440141 0.6862995 0.7090685
lower bd     0.3433270 0.3420992 0.4203298 0.5801552 0.6493680 0.6739000
upper bd     0.3897500 0.4507941 0.4943288 0.6904127 0.7422294 0.7344405

Problem

I'd like to extract coefficients and upper and lower bounds from a quantile regression using the `quantreg` package. Here's an example from the help file. ``` data(engel) attach(engel) taus <- c(.05,.1,.25,.75,.9,.95) f <- rq((foodexp)~(income),tau=taus) sf <- summary(f) sf[1] #[[1]] #Call: rq(formula = (foodexp) ~ (income), tau = taus) #tau: [1] 0.05 #Coefficients: # coefficients lower bd upper bd #(Intercept) 124.88004 98.30212 130.51695 #income 0.34336 0.34333 0.38975 ``` I know I can use `coefficients()` to get the coefficients. ``` cf <- t(data.frame(coefficients(f))) # transpose for better arrangement cf # (Intercept) income #tau..0.05 124.88004 0.3433611 #tau..0.10 110.14157 0.4017658 #tau..0.25 95.48354 0.4741032 #tau..0.75 62.39659 0.6440141 #tau..0.90 67.35087 0.6862995 #tau..0.95 64.10396 0.7090685 ``` But I can't figure out how to get the upper/lower bounds that appear in `summary()`. I looked at `str(sf)`, but I did not see how to extract. Ultimately, I'd like to put taus, coefficients, and upper/lower bounds in a dataframe for further processing.

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