Dries F. Benoit and Dirk Van den Poel, "Binary Quantile Regression: A 
Bayesian Approach Based on the Asymmetric Laplace Distribution", Journal 
of Applied Econometrics, Vol. 27, No. 7, 2012, pp. 1174-1188.

Both real and simulated data sets were used in the paper. The artificial
data were simulated as described in the paper. 

The real dataset used in the paper (work trip mode choice) was obtained
from the data archive that comes with the following paper:  

  Florios, K. and Skouras, S., (2008). Exact computation of max weighted 
  score estimators. Journal of Econometrics, 146(1), 86-91.

And can be found at the following url (09/07/2010):

http://www.gams.com/modlib/libhtml/mws.htm

The data first appeared in:

  Horowitz, J.L., (1993). Semiparametric estimation of a work-trip mode 
  choice model. Journal of Econometrics, 58(1-2), 49-70.

The variables used in the paper are DCOST, CARS, DOVTT, DIVTT, INTCPT 
and DEPEND. These variables are also described in both Florios & Skouras 
(2008) and Horowitz (1993). The data, with 842 observations, are in the 
file wtmc.txt, which is a comma-separated-value file (14kB) in DOS 
format. It is zipped in the file wtmc.zip. Unix/Linux users should use 
"unzip -a".