I am trying to test for the equality of coefficients in the quantile regression setting, but keep getting the following warning:   WARNING: The test for equal coefficients across quantiles is ignored because the joint covariance is not computed.   The sample size is 1745, with 2 independent indicator variables, 8 continuous variables, and 2 class variables. The specification is as follows:    proc quantreg ci=rank algorithm=interior(tolerance=1.e-4) data=sample; class year ind_code; model dep = dummy1 dummy2 cont1--cont8 year ind_code / quantile= 0.1 to 0.9 by 0.1; test dummy1 /QINTERACT; test dummy2 /QINTERACT; run;   What could be the reasons for this? I tried alternative ci= specifications and lower number of quantiles but nothing seems to help. ... View more