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Re: st: quantile regression and endogenous variables
As far as your first question is concerned, there are some papers that
discuss endogeneity in quantile regressions. A fairly recent one is:
Sokbae Lee, 2004, Endogeneity in quantile regression models: a control
function approach, CEMMAP WP 08/04.
As it seems, the method suggested in this paper can be implemented using
the Stata commands for quantile regression. Moreover, Lee also discusses
some related methods. Thus, it could be a good starting point for you.
Hope this helps?
At 14:10 14/09/2004, you wrote:
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)
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.
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