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Re: st: multivariable median regression

Subject   Re: st: multivariable median regression
Date   Fri, 22 Apr 2005 17:19:06 EDT

You asked about how to run a multivariate median regression. Isn't this  the 
same as Stata's qreg command. If you  type
. search median  regression
at the Stata prompt, a lists of references appears. One reference  is for a 
Frequently Asked Questions source related to qreg. Here is the first  two 
paragraphs from the FAQ. If this is what you're looking for, then qreg is  your 

"Stata's qreg command fits quantile (including median) regression models,  
also known as least-absolute value (LAV) models, minimum absolute deviation  
(MAD) models, and L1-norm models. 

"Median regression estimates the median of the dependent variable,  
conditional on the values of the independent variable. This is similar to  
least-squares regression, which estimates the mean of the dependent variable.  Said 
differently, median regression finds the regression plane that minimizes  the sum of 
the absolute residuals rather than the sum of the squared residuals."  
Joe  Hilbe

Dear  listusers,

I have to build a multivariable median regression model  but I don't 
understand which is the appropriate method to select variables. I  can get the pseudo 
R2 that is based on the likelihood of a double exponential  distribution, but 
I don't know how to use this information to decide if a  variable has to enter 
or not in the equation. 

Many  thanks,



-----Mensaje original----- 
De: [] 
Enviado el: vie  22/04/2005 20:18 
Asunto: st: problem with  missing F stats and P values in joint model test

Dear  listusers,

When I run multivariate  regression, the F or chi2 model statistic has been
reported as missing for some models.  The Stata help menu says "the  model
that you estimated has its F or chi2 model statistic  reported to be
missing.  Stata has done that so as  not to be misleading, not because
there is something  necessarily wrong with your model".  But I want to
understand the mechanism behind this problem.  I suspect it might be  due
to the lack of LHS vars' variation or lack of  statistical power.  Does
anybody have experienced the  same problem and have some thoughts to share?
What kind of  consequence will this cause?  Does it affect the

Many thanks,

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