Tony Lancaster and Sung Jae Jun, "Bayesian Quantile Regression Methods", 
Journal of Applied Econometrics, Vol. 25, No. 2, 2010, pp. 287-307.

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

The real data used in the paper (the demand for fish) were directly obtained
from Kathryn Graddy.  They came from

Graddy, K. (1995), "Testing for Imperfect Competition in the Fulton Fish
Market",  Rand Journal of Economics 26, 75--92.

The variables used in the paper are qty, price, stormy, and mixed. These
variables are also described in Graddy (1995). The data, with 111
observations, are in the file fish.txt, which is an ASCII file in DOS
format. It is zipped in the file fish.zip. Unix/Linux users should use
"unzip -a".