> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> statalist@hsphsun2.harvard.edu] On Behalf Of Bo MacInnis
> Sent: Saturday, July 31, 2004 1:06 PM
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: Is there a fixed effect quantile regression in STATA?
<snip>
> Seperately, thank you for suggesting the -xtdata- and I will try it out.
>
> Once again thank you,
> Bo
> a graduate student at University of California at Berkeley
In the Koenker paper cited before he states that this procedure will not
work:
"In least squares applications the usual strategy would be to transform y
and X to deviations from individual means, and then compute beta_hat from
the transformed data. For quantile regression this decomposition of
projections isn't available and we are required to deal directly with the
full problem." Page(4).
As an aid to interpretation, you should take a look at Joao Pedro W. de
Azevedo's -grqreg-.
Scott
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