Can anyone suggest a way to construct confidence bands on a particular quantile regression line? I am working with the quantreg package in R.
The function predict.rq is analogous in use and meaning to predict.lm (both can be called by simply using predict). I could not get this to return a useful result using the default fitted values (it returns a vector instead of a matrix). My workaround was to define a newdata dataframe consisting of the fitted values and specifying that in the call to predict.rq.