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st: RE: RE: Re: RE: Fw: Sample size and QREG


From   "Scott Merryman" <smerryman@kc.rr.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: RE: Re: RE: Fw: Sample size and QREG
Date   Mon, 7 Feb 2005 16:04:19 -0600

I believe (though I can no longer locate the paper) Buchinsky (1995)
recommended bootstrapping to obtain estimates of the standard errors, as it
performed well in relatively small samples.

Buchinsky, M. (1995), "Estimating the Asymptotic Covariance Matrix for
Quantile Regression Models: A Monte Carlo Study," Journal of Econometrics,
68, 303-38.

Hope this helps,
Scott


> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> statalist@hsphsun2.harvard.edu] On Behalf Of Nick Cox
> Sent: Monday, February 07, 2005 3:48 PM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: RE: Re: RE: Fw: Sample size and QREG
> 
> That's my only real idea here.
> 
> I did think of getting a larger
> dataset (real or concocted) and
> reducing it by random deletion,
> but there's always a question
> of how relevant that would be to
> your real problem.
> 
> Nick
> n.j.cox@durham.ac.uk
> 


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