I'm not doing a pure QAR (quantile auto regression) but I do have a lagged dependent variable (AR(1)) as a predictor. I'm using the
quantreg package in
R to do it. I have two very closely related questions:
(1) I use
R to do my QRs. Do I need to do anything fancy to be fine by putting an AR(1) term on the RHS?
(2) Is it fine to use AR(1) term as a regressor to deal with autocorrelation in quantile regression as you can with OLS? Or is QR different in this regards?