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st: RE: Too small standard errors with QREG?


From   "Scott Merryman" <smerryman@kc.rr.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Too small standard errors with QREG?
Date   Thu, 10 Mar 2005 10:42:07 -0600

You might find these two posts helpful:

http://www.stata.com/statalist/archive/2003-02/msg00813.html


http://www.stata.com/statalist/archive/2003-02/msg00869.html

Scott



> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> statalist@hsphsun2.harvard.edu] On Behalf Of Jeannette Wicks-Lim
> Sent: Thursday, March 10, 2005 10:10 AM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: Too small standard errors with QREG?
> 
> Hi,
> I've estimated a quantile regression (QREG) which requires an iterative
> process to minimize the sum of the absolute residuals. Something strange
> happens with my results: the standard errors are extremly small (note that
> the CI are points rather than ranges...). Does anyone have any thoughts
> about why this might be happening? My model does have in it many variables
> (lots of interaction terms) but I don't hink that should be a problem
> given
> the large sample size.
> 
> Thanks in advance for any help!
> 
> Below I've pasted some of the output:
> 
> .9 Quantile regression                               Number of obs =
> 422027
>   Raw sum of deviations 66889.66 (about 2.5118887)
>   Min sum of deviations  64818.5                     Pseudo R2     =
> 0.0310
> 
> --------------------------------------------------------------------------
> ----
>      lnrwage |      Coef.   Std. Err.      t    P>|t|     [95% Conf.
> Interval]
> -------------+------------------------------------------------------------
> ----
>     lnpmin1r |   .1971322   1.53e-15        .   0.000     .1971322
> .1971322
>    _Iyear_78 |   -.004403   3.95e-16        .
> .000     -.004403    -.004403
>    _Iyear_79 |   .0034332   4.48e-16        .   0.000     .0034332
> .0034332
>    _Iyear_80 |  -.0193586   5.30e-16        .
> 0.000    -.0193586   -.0193586
>    _Iyear_81 |   .0143617   3.49e-16        .   0.000     .0143617
> .0143617
>    _Iyear_83 |   .0150885   3.69e-16        .   0.000     .0150885
> .0150885
>    _Iyear_84 |   .0203746   4.08e-16        .   0.000     .0203746
> .0203746
>    _Iyear_85 |   .0300213   4.44e-16        .   0.000     .0300213
> .0300213
>    _Iyear_86 |   .0464875   4.63e-16        .   0.000     .0464875
> .0464875
>    _Iyear_87 |   .0385665   5.01e-16        .   0.000     .0385665
> .0385665
>    _Iyear_88 |   .0299613   5.33e-16        .   0.000     .0299613
> .0299613
>    _Iyear_89 |   .0426883   5.65e-16        .   0.000     .0426883
> .0426883
>    _Iyear_90 |   .0202615   5.32e-16        .   0.000     .0202615
> .0202615
>    _Iyear_91 |    .000379   4.67e-16        .   0.000      .000379
> .000379
>    _Iyear_92 |    .000173   4.68e-16        .   0.000      .000173
> .000173
>    _Iyear_93 |     .00088   5.00e-16        .   0.000       .00088
> .00088
> 
> 
> Jeannette Wicks-Lim
> Department of Economics
> University of Massachusetts, Amherst
> (413) 577-0820
> 
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