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st: Re: RE: Re: Quantile regression for panel data


From   "Jeannette Wicks-Lim" <janetlim@econs.umass.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: RE: Re: Quantile regression for panel data
Date   Tue, 17 May 2005 15:05:48 -0400

I'm not sure about the theory underlying how the sampling variance is estimated with qreg, but as far as I know, the only way to deal with clustering in your data within the context of quantile regression, is to bootstrap. Besides the bs command you can also look into clad (Censored Least Absolute Deviations estimator with bootstrapped se).
J
----- Original Message ----- From: "FEIVESON, ALAN H. (AL) (JSC-SK) (NASA)" <alan.h.feiveson@nasa.gov>
To: <statalist@hsphsun2.harvard.edu>
Sent: Tuesday, May 17, 2005 2:48 PM
Subject: st: RE: Re: Quantile regression for panel data



Unfortunately (at least in Stata 8) qreg does not allow a -cluster- option.
I am wondering why - is there some theoretical reason for this or is it
simply a matter of nobody having provided the code for it in -qreg- ?

Al Feiveson

. qreg y delph,cluster(jsub)
Iteration 1: WLS sum of weighted deviations = 5381.2885

option cluster() not allowed
r(198);

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu]On Behalf Of Jeannette
Wicks-Lim
Sent: Tuesday, May 17, 2005 1:36 PM
To: statalist@hsphsun2.harvard.edu
Subject: st: Re: Quantile regression for panel data


One way to deal with clustering, I believe, is to bootstrap your standard
errors using the cluster option (for info, just type "help bs").

Jeannette
----- Original Message ----- From: <stefanie.brodmann@upf.edu>
To: <statalist@hsphsun2.harvard.edu>
Sent: Tuesday, May 17, 2005 2:28 PM
Subject: st: Quantile regression for panel data



Dear All,

for my thesis, I would like to estimate the returns to education for
immigrants
and natives at different points in the earnings distribution. I have a
large
panel data set with 85000 observations. I want to make use of quantile
regression techniques; however, I am not sure if this works with
longitudinal data.

Is anyone of you aware of panel data features for quantile regression? Or
is
there anything like the cluster-option for quantile regression in order to

take
account of the dependence among individuals?

I am very grateful for any comments. Thanks a lot!

Stefanie





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