Koenker also has information on his website that may be helpful.
http://www.econ.uiuc.edu/~roger/my.html
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Michael
Blasnik
Sent: Friday, January 09, 2004 9:41 AM
To: [email protected]
Subject: st: Re: plot/graph of quantile regression coefficients
I haven't seen the graphs, but I have an ado that does this -- well
actually, it just goes through a set of quantiles and stores the qreg
coefficients and upper and low confidence intervals for all variables in
the model in a new dataset. You would then have to issue graph commands
on the resulting dataset to get what you want (a connected scatter plot
with an rcap plot?) .
I originally wrote the ado a few years ago, but I've updated it to v8.
However, it uses separate calls to qreg, so you may want to check out
sqreg for simultaneous estimation of the confidence intervals.
If you'd like the ado I can email it to you -- there's no help file and
it doesn't yet allow weights, but other than that it should work OK.
Michael Blasnik
[email protected]
----- Original Message -----
From: "Pagan, jose" <[email protected]>
To: <[email protected]>
Sent: Thursday, January 08, 2004 8:54 PM
Subject: st: plot/graph of quantile regression coefficients
> Dear All, A while ago someone posted a message on whether anyone had a
> do
file to plot the coefficients of a given independent variable from a set
of quantile regressions. I could not find a response. An example is
shown on page 150, Figure 4, in Koenker and Hallock's (2001) Quantile
Regression article in the Journal of Economic Perspectives, 15(4),
143-156. The figure also has 90% pointwise confidence bands (their
example is based on 19 regression runs, going from the .05 to the .95
quantile).
>
> Does anyone know how to do these graphs? Thanks, Jose Pagan.
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
