Abstract: We consider the problem of model selection for quantile regression analysis when a particular purpose of the modeling procedure has to be taken into account. Typical examples include estimation of the area under the curve in pharmacokinetics or estimation of the minimum effective dose in phase II clinical trials. A focused information criterion for quantile regression is developed, analyzed, and investigated by means of a simulation study and data analysis.

Key words and phrases: Quantile regression, model selection focused information criterion.