How to extract observations included in a particular quantile in quantile regression?

Question

I have a database of ~2000 observations and made a quantile regression on the 95th percentile using quantreg package.

I wanted to identify the observations that were actually used for calculating the slope and intercept for the 95th percentile regression in order to perform further analysis. Is there any way to do that?

This is the code for quantreg I used so far:

datos<-quantreg.example
library(quantreg)
rq(y ~ x, tau=0.95, data=datos, method="br", model = TRUE) 

and here is the data file: http://www.filedropper.com/quantregexample

Answer 1

Alright, I thought I would whip up a quick solution to what I think your question is asking for:

set.seed(123)
library(dplyr) #data transformation
library(quantreg) #quantile regression
#make dummy data
df <- data.frame(x = sample(1:10, 200, replace = T))
df$y <- df$x + rnorm(200)
#fit quantile regression
my_q <- rq(y~x, data = df, tau = 0.95)
#use dplyr to get 95% quantile at each x
df_q <- df %>% group_by(x) %>% summarise(yq = quantile(y, probs = .95))
#quick viz with red points being 95% quantiles
with(df, plot(x,y))
legend('topleft',legend = '95% Conditional Quantiles',col = 'red',pch = 19, bty = 'n')
with(df_q, points(x, yq, col = 'red', pch = 19))
abline(reg = my_q)

Hope this helps.