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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 * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: instrumental variable for quantile regression***From:*"alessia matano" <alexis.rtd@gmail.com>

**References**:**st: instrumental variable for quantile regression***From:*"alessia matano" <alexis.rtd@gmail.com>

**Re: st: instrumental variable for quantile regression***From:*"alessia matano" <alexis.rtd@gmail.com>

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