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From |
"alessia matano" <alexis.rtd@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: instrumental variable for quantile regression |

Date |
Wed, 28 May 2008 18:35:36 +0200 |

Thank you Austin, for all your advices. I will try it. I am not sure about the consistency of the estimates, but as i understood, in applying such a procedure (whose i can also use xtdata, fe) the problem is on the standard errors to be corrected for the first stage. Anyway, i will try with some simulation. many thanks for your patience 2008/5/28 Austin Nichols <austinnichols@gmail.com>: > alessia matano <alexis.rtd@gmail.com>: > I can't see where you got a repeated time values error. As I said before: > "show an example using a publicly available > dataset, e.g. start your example code with > webuse psidextract, clear > tsset > Probably you need at least the idcluster(newvar) option on > -bootstrap-. " > > This estimation procedure you are using is wandering further and > further afield; do you have any confidence it will generate consistent > estimates of the parameter you are interested in? As I understand it, > you want to know the effect of some X on the conditional median of Y. > If I were you, I would see how your cluster-bootstrapped time-demeaned > qreg estimate does at recovering this parameter in some simulated > data. > > On Wed, May 28, 2008 at 8:22 AM, alessia matano <alexis.rtd@gmail.com> wrote: >> Dear Austin. >> >> You are right I tried to demean the data myself, since when I used >> xtdata....., fe i(ind) it didn't create deviations from time average >> for each individual (ind). But, then I asked myself if it does not in >> fact do that, but just prepare the data for such a transoformation. >> Any help regarding this is welcome. >> >> Secondly i applied a bootstrap procedure like the following (after >> time demeaning the data) >> >> prog me >> qreg dmwage dmindchar dmspec dmd1995-dmd2004 dmsectors dmarea, q(0.1) >> end >> bs, cluster(ind): me >> >> I before tsset the data >> tsset ind year >> and it recognize that it is a panel. Then when I apply the program he >> wrote repeated time values within panel. hence, my question about >> clustering. >> Moreover generally, in fixed effects estimates I also clustered the >> observations for area (to deal with heteroskedasticity questions), and >> I do not know if I can do it now. >> Last, I tried the same with clustering() (see below) and it stopped at >> the third bootstrap writing something like: >> ..x >> >> prog me >> qreg dmwage dmindchar dmspec dmd1995-dmd2004 dmsectors dmarea, q(0.1) >> end >> bs, cluster(): me >> >> Thanks again for any help >> alessia >> >> 2008/5/27 Austin Nichols <austinnichols@gmail.com>: >>> alessia matano <alexis.rtd@gmail.com>: >>> Perhaps if you show what you typed, folks on the list can offer >>> advice. Even better, show an example using a publicly available >>> dataset, e.g. start your example code with >>> >>> webuse psidextract, clear >>> tsset >>> >>> Probably you need at least the idcluster(newvar) option on >>> -bootstrap-. How are you demeaning yourself? Better to use an -xt- >>> commmand. >>> >>> On Tue, May 27, 2008 at 6:13 AM, alessia matano <alexis.rtd@gmail.com> wrote: >>>> Dear Austin, >>>> >>>> I attempt to do the estimation with bootstrap....after time-demeaning >>>> my observation. I have just a doubt. It is true that bootstrap allows >>>> the cluster option, what i do not understand well is for what should i >>>> clustered my observations to allow correct standard errors after >>>> time-demenaing myself the observations. generally i clustered them not >>>> for individual, but for provinces where they live (cause of >>>> heteroskedasticity). However bootstrap either using the individual >>>> cluster or using the province ones does not work, saying that there >>>> are time repeated values within the panel, while when I tsset them it >>>> understands the panel structure. May you help me with this also? It >>>> works only when I cluster() with no variables inside. >>>> May you suggest me something? Also to read about? >>>> thank you very much >>>> 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/ > * * 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/

**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>

**Re: st: instrumental variable for quantile regression***From:*"Austin Nichols" <austinnichols@gmail.com>

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

**Re: st: instrumental variable for quantile regression***From:*"Austin Nichols" <austinnichols@gmail.com>

**Re: 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>

**Re: st: instrumental variable for quantile regression***From:*"Austin Nichols" <austinnichols@gmail.com>

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

**Re: st: instrumental variable for quantile regression***From:*"Austin Nichols" <austinnichols@gmail.com>

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