  Efron [J. Roy. Statist. Soc. Ser. B 54 (1992) 83--111] proposed a
computationally efficient method, called the jackknife-after-bootstrap, for
estimating the variance of a bootstrap estimator for independent data. For
dependent data, a version of the jackknife-after-bootstrap method has been
recently proposed by Lahiri [Econometric Theory 18 (2002) 79--98]. In this
paper it is shown that the jackknife-after-bootstrap estimators of the variance
of a bootstrap quantile are consistent for both dependent and independent data.
Results from a simulation study are also presented.
