The quantile regression is used to estimate conditional median of a variable. Nonparametric quantile regression is performed in a similar framework with locally polynomial fitting. Refer to the following document written by Roger Koenker for more detailed information:
http://www.econ.uiuc.edu/~roger/courses/RMetrics/L3.pdf
The ‘qreg2’ function in the Stata3 software can be used to perform ‘nonparametric quantile regression’. My question is whether there is any open source toolbox including a function equivalent to the 'qreg2' function. If so, could you please suggest such a function or toolbox in MATLAB (or R) which corresponds to the ‘qreg2’ function? If possible, an example code would be helpful. Thank you sincerely for your help in advance.
http://www.econ.uiuc.edu/~roger/courses/RMetrics/L3.pdf
Hi,
Stata makes this very easy with its inbuilt qreg (qreg2 is user-written and provides a wrapper to qreg so that clustered robust standard errors can be used). The file you linked shows an example in R, so you have a few options outside of Matlab. If you need to do this in Matlab, while I haven't used it, quantreg looks like it might fit your requirements:
https://au.mathworks.com/matlabcentral/fileexchange/32115-quantreg-x-y-tau-order-nboot-
Hope that this is useful.
Thank you, Andrew. I have an option of using R. I was curious about the existence of MATLAB function which corresponds to qreg2. As you suggested, quantreg supports quantile regression, but I don't make sure it supports 'nonparametric' approach to quantile regression. Nevertheless, your suggestion was greatly helpful.
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