I have a few questions regarding quantile regression and how to interpret the results. I have several independent variables and I want to figure out which combination of variables have the highest predictive value. I have preformed quantile regression, in Eviews, on all possible combinations of the 10 independent variables I have.
I would like to know which statistical measure provides the best information with regards to evaluate which combinations of independent variables I should use?
The t-statistics seems to be more signification at the extreme quantiles (90, 80, 20, 10%), than the quantiles more centered in the middle (40, 50 ,60%). Why is it so?