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st: Quantile regression


From   hounaz@uni-hohenheim.de
To   statalist@hsphsun2.harvard.edu
Subject   st: Quantile regression
Date   Thu, 19 Jun 2008 13:53:53 +0200

Dear all,

I am performing quantile regression using STATA qreg procedure. I have a list 
of 400 variables and I would like to select the best set of 10 variables out of

those 400. Since there is no variable selection command for my purpose, I want 
to run the quantile regression for all possible combinations of 10 vars out of 
400 variables. The total number of combinations is huge:90734485000000000000. I

would like to ask if anyone has come accross such a problem and how I can write

maybe a macro that would allow each 10 variable combination to be run with qreg

procedure and store the predictions of the dependent variable in an output
file.

Does anyone has another idea on how to deal with the problem?

Thank you


Nazaire




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