The eQTL data used in this vignette can be downloaded from the GTEx site.
Note, the following downloads a 1.3GB file, which will take some time.
download.file("http://www.gtexportal.org/static/datasets/gtex_analysis_v6/single_tissue_eqtl_data/GTEx_Analysis_V6_eQTLs.tar.gz", "./GTEx_Analysis_V6_eQTLs.tar.gz")
untar("GTEx_Analysis_V6_eQTLs.tar.gz")