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Re: st: instrumental variable for quantile regression


From   "Austin Nichols" <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: instrumental variable for quantile regression
Date   Thu, 22 May 2008 13:28:00 -0400

alessia matano <alexis.rtd@gmail.com>:
The ref cited elliptically in
http://www.stata.com/statalist/archive/2003-09/msg00585.html
http://www.stata.com/statalist/archive/2006-06/msg00472.html
is

Takeshi Amemiya
"Two Stage Least Absolute Deviations Estimators"
Econometrica, Vol. 50, No. 3 (May, 1982), pp. 689-711
http://www.jstor.org/stable/1912608

which proves consistency of that model (2SLAD) for the structural
parameter \beta which determines the conditional mean of y = X\beta.
That's the conditional mean, not median. I.e. not the usual
interpretation of LAD in terms of quantile regression; see e.g.
Koenker and Hallock 2001:
http://www.econ.uiuc.edu/~roger/research/rq/QRJEP.pdf

If you have survey data, read Stas K.'s refs in
http://www.stata.com/statalist/archive/2007-09/msg00147.html

So I guess I need more info from you as to what data you've got and
what you want to estimate before I make any claims about
consistency...

On Thu, May 22, 2008 at 12:17 PM, alessia matano <alexis.rtd@gmail.com> wrote:
> Dear Austin,
>
> first thanks for your answer. I also found some of these articles to
> read that could be useful, and I will do that. of course. I also found
> out an answer in an old stata faq about the same problem where a guy
> was suggesting the procedure below. What do you think about it?
>
> sysuse auto, clear
>
>        program bootit
>                version 8.0
>
>                // Stage 1
>                regress price foreign weight length
>                predict double phat, xb
>
>                // Stage 2
>                qreg mpg foreign phat
>        end
>
>        bootstrap "bootit" _b, reps(1000) dots
>
> thank you
> alessia
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