st: bootstrapping standard errors in quantile regression

[Jorge Luis Castaneda Nunez <jl.castaneda71@uniandes.edu.co>]

Dear stata listers:

I am trying to get the covariance matrix in order to test the difference between the coefficients of two quantile regressions. I know that Stata finds it by bootstrapping but in my case, it does not converge. I am wondering if there is another procedure to find the standard errors say for example, by an asymptotic approach.

Thanks!

JLC