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Re: st: instrumental variable for quantile regression

From   "Austin Nichols" <>
Subject   Re: st: instrumental variable for quantile regression
Date   Fri, 23 May 2008 08:31:27 -0400

alessia matano <>:
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:

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 <> 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.
> thank you again
> alessia
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