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st: RE: RE: CQREG CLAD


From   "Paul GERRANS" <p.gerrans@ecu.edu.au>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: RE: CQREG CLAD
Date   Tue, 12 Sep 2006 06:24:19 +0800

Thanks very much Scott. Will try the program.
Thanks again
Paul

________________________________

From: owner-statalist@hsphsun2.harvard.edu on behalf of Scott Merryman
Sent: Tue 12/09/2006 4:48 AM
To: statalist@hsphsun2.harvard.edu
Subject: st: RE: CQREG CLAD



Paul,

1. You probably need to increase quantile.

2. There is brief discussion of bias in [R] bootstrap, page 150.

You also might the following program useful; unlike -clad- or -cqreg- it
only bootstraps (as an option) the standard errors, not the model
coefficients.

Scott


program cqreg2
        version 9.2
        syntax varlist(min=1) [if] [, Quantile(real 0.5)  ll(string)
ul(string) bs reps(integer  100) save(string) grqreg]

tempvar yhat
tokenize `varlist'
local lhs "`1'"
mac shift
local rhs "`*'"
               
preserve
qui {
qreg `lhs' `rhs' `if', q(`quantile')
predict `yhat'
sum `hat'
tempvar tag
if "`ll'" != "" & "`ul'" == "" {
        while  r(min) < `ll' {
                keep if  `yhat' >= `ll'
                qui qreg `lhs' `rhs' `if', quantile(`quantile' )
                qui drop `yhat' 
                predict `yhat' if e(sample)
                qui sum `yhat' if e(sample)
        }
}
if "`ll'" == "" & "`ul'" != "" {
        while  r(max) > `ul' {
                keep if  `yhat' <= `ul'
                qui qreg `lhs' `rhs' `if', quantile(`quantile' )
                qui drop `yhat' 
                predict `yhat' if e(sample)
                qui sum `yhat' if e(sample)
        }
}
if "`ll'" != "" & "`ul'" != "" {
        while  r(max) > `ul' &    r(min) < `ll' {
                keep if  `yhat' <= `ul' &  `yhat' >= `ll'
                qui qreg `lhs' `rhs' `if', quantile(`quantile' )
                qui drop `yhat' 
                predict `yhat' if e(sample)
                qui sum `yhat' if e(sample)
        }
}
}
if "`bs'" == "bs" {
        bsqreg `lhs' `rhs' `if', quantile(`quantile' ) reps(`reps')
        }
else {
        qreg
        }
if "`grqreg'" != "" {
        grqreg, ci
        }
if "`save'" != "" {
        disp ""
        save "`save'", replace
        }
end


> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> statalist@hsphsun2.harvard.edu] On Behalf Of Paul GERRANS
> Sent: Thursday, September 07, 2006 8:35 PM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: CQREG CLAD
>
> Hello,
> I am using Professor Ken Chay's censored regression programs (cqreg and
> scls) available from his website http://elsa.berkeley.edu/~kenchay/
> Two questions:
> - While I can run Tobit and SCLS and get estimates most samples where I
> run cqreg i get "No covergence" after some considerable time. I have
> approx 4800 left-censored observations (0), 11200 uncensored observations
> and 1870 right-censored (100)
> - When I do get output for the cqreg and scls estimators what is the
> interpretation of the Bias output? Do I add/subtract from the coefficient
> estimate?



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