The data used by
Bierens, H.J., and D. Ginther (2001): "Integrated Conditional Moment Testing of Quantile Regression Models", Empirical Economics 26, 307-324,
is downloadable as a self-extracting WinZip file MEDIAN.XLS.EXE. Save MEDIAN.XLS.EXE anywhere on your hard disk, and run it. Then the Excel 2000 file MEDIAN.XLS will be extracted, in default directory C:\MEDIAN.ICM. Then use EasyReg International to replicate the results in the paper.