Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

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   Fri, 23 May 2008 08:31:27 -0400

alessia matano <alexis.rtd@gmail.com>:
I believe someone at Statacorp is working on an "xtqreg", but that
won't be available in time to help you.  qreg doesn't support cluster,
but bootstrap does:

http://www.stata.com/statalist/archive/2007-09/msg00147.html

but you will want to run some simulations to see how your approach
works in finite samples, I think.

On Fri, May 23, 2008 at 6:14 AM, alessia matano <alexis.rtd@gmail.com> wrote:
> Dear Austin and Brian.
>
> Thanks first for your answers. Austin I probably missunderstood the
> answer of Brian in that previous message suggesting such a procedure,
> I thought it was to solve this kind of problem. Anyway I should be
> more explicity about the data I use. I have individual panel data
> (with wages and a set of individual characteristics) and I matched
> them with provincial variables whose I would like to estimate the
> impact on differnet points of workers wage distribution.
>
> Hence I have two problems I'd like to solve.
> - The first is that because of likely endogeneity I would like to
> instrument my provincial variable and perform a quantile regression.
> This is the reason why of my post. I thought that it could have been
> possible to run a first stage and then correcting the standard errors
> performing the qreg estimation. But it is not correct. Thank for this
>
> - The second. I would like to correct for individual unoberved
> heterogeneity and hence to see if it is possible to estimate  a
> quantile fixed effects estimation. I know that also this question is
> not easy to solve. I red another stata faq that suggests to use
> xtdata, fe and then apply qreg clustering the standard errors with a
> general sandwich formula (?!?). The last point I did not well
> understood, and also qreg does not allow clustering options. If you
> have something to advice also on this topic, many thanks. Below the
> link of the related stata faq.
>
> http://www.stata.com/statalist/archive/2004-07/msg00926.html
>
> thank you again
> 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/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index