Finite-sample distribution of regression quantiles

@inproceedings{Jureckov2010FinitesampleDO,
  title={Finite-sample distribution of regression quantiles},
  author={Jana Jureckov{\'a}},
  year={2010}
}
The finite sample distributions of the regression quantile and of the extreme regression quantile are derived for a broad class of distributions of the model errors, even for the non-i.i.d case. The distributions are analogous to the corresponding distributions in the location model; this again confirms that the regression quantile is a straightforward extension of the sample quantile. As an application, the tail behavior of the regression quantile is studied. 

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