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st: quantile regression and endogenous variables

Subject   st: quantile regression and endogenous variables
Date   Tue, 14 Sep 2004 14:10:40 +0200

Dear All,

using individual data (cross section) I want to run a quantile regression (qreg, sqreg.) on the 0.1, 0.25, etc. percentile of the conditional distribution. Unfortunately, I suspect that one or two determinants (X) are endogenous.
Does anybody of the specialists here know a way to handle this problem ( theoretically and particularly using sqreg / Stata commands)?

Furthermore, if I estimated OLS I would use the cluster-option as the variables are measured at different levels ( individual, school, region).
Is there an analogon to clustering for quantile regressions or, using this qreg-method, did I not have to 'take into account' different levels ?

Any comments are very welcome.


Justina Fischer

Dipl.Vw. Justina A.V. Fischer,
Research Associate
SIAW - University of St. Gallen
Bodanstr. 8
CH-9000 St. Gallen
Tel.:++41-71-224 2345
Fax: ++41-71-224 2298

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