The files and Programs for "Inference for Extremal Conditional Quantile Models"

I. Files for Monte-Carlo

1.  example_no_X.ssc:  	Simplest example with no regressors meant show that Extreme Value 
approximations have something to offer.

2.  monte_carlo_t_distribution.ssc: Monte-Carlo file with t-errors. X is drawn 
    from var_data.  Nuisance parameters are treated unknown.

3.  monte_carlo_W_distribution.ssc:  Monte-Carlo file with Weibull-errors. X is drawn 
    from var_data.  Nuisance parameters are treated unknown.

4.  functions.ssc: collections of basic inference functions needed to run Monte-Carlo

5.  Var_data.txt:  file used to generate regressors for Monte-Carlo.

6.  rq.s and rq.obj:  are R. Koenker's compiled QR routines for Windows. Available from 
    www.econ.uiuc.edu

7.  *.eps:  contain graphical summaries of the Monte-Carlo work

8.  nn500*.*: contain actual numbers from Monte-Carlo


II.  Files for the Empirical Section:

1. Empirical_Natality.ssc contains the Natality example (it runs in R)
   Data was obtained from www.econ.uiuc.edu. 
   I will post a file here as well in a few days

2. R-progrs.ssc contains routines needed to implement the above (this is in R)


3. Var_Implement.ssc   contains the VaR example (it runs in S-plus)
   Data is available as var_data.txt

4. Var_data.txt