Model percentiles without quantile regression I have 5 variables predicting a total price  for selling an item. I also want to be able to include interaction terms in the model. However, I want to sell the item at the 75th percentile in order to ensure my price is competitive. 
I am under the impression that a regular simple linear regression model predicts the 100th percentile. How can I predict difference percentiles without using quantile regression? QR does not allow for interaction terms, and I need them in my model. Any help? I am using R if there's any advice for that program.
 A: Linear regression does not predict the 100th percentile.  Linear regression is more akin to predicting a mean, which doesn't translate into "percentiles".
And I just played around with the rq() function in R (in the quantreg package).  It does indeed allow you to use interaction effects.  Try something like:
m <- rq(y ~ x1 + x2 + x1:x2, tau = 0.75)

A: There's a good answer already but I wanted to mention some other possibilities.
If you're prepared to make a parametric assumption, any parametric model should let you get an approximate quantile.
For example, consider a GLM. At any combination of the predictors, you can calculate the conditional (fitted) distribution.
If you're doing out-of-sample prediction you can get an approximate predicted value -- though incorporating parameter estimation uncertainty is a bit more tricky, in cases where it's not tractable it can be done via approximation, such as treating the difference between the true parameters and the estimated parameters as if the asymptotic case applied (multivariate normal) and then simulating.
There's also bootstrapping approaches to obtaining quantiles for predictions in the cases where you don't want to make a parametric assumption. (The book by Davison & Hinkley Bootstrap methods and their application, has information on how to do bootstrapped prediction intervals. These days this would be regarded as a form of parametric bootstrap, though it's not necessarily to think of it that way)
