-After importing your data, specify your equation starting with the dependent variable.
-Select the independent variables in the preferred order
-Click okay to estimate
-Now, generate the ECM by going to quick, generate equation
-In the generate equation window, write:
Resid=ECM
-Now specify the short run form of the model and include the ecm by typing d followed by each variable in bracket. For the ecm, write ecm(-1)
- click okay to Estimate. Note that ecm (-1) is the error correction term -Now, go to view, representation and copy the estimated equation including all the lags.
Click estimate and select quantile regression in the methods field.
Paste the copied text in the equation specification window.
-Click okay to obtain the short -run estimates and the ecm.
Change the quantiles as desired and estimate.
Truly apologize for coming late with this discussion. I just observed that I was called out for this since August.
Best of luck.