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