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st: analytic standard errors in quantile regression


From   "Jochen_Spaeth@t-online.de" <Jochen_Spaeth@t-online.de>
To   statalist@hsphsun2.harvard.edu
Subject   st: analytic standard errors in quantile regression
Date   Wed, 03 Dec 2008 11:16:18 +0100

Dear all,

I have a large panel data set (N >> T ) and I want to run quantile
regressions with heteroskedasticity/autocorrelation-robust standard
errors. However, there is no such option that could be passed to the
-qreg- command in STATA and because my data set is huge bootstrap
standard errors do not seem a viable alternative. Is anyone out there
aware of a program that defines such a -robust- option for the -qreg
command- or something similar?

Any comment is highly appreciated!

Sincerely,
Jochen


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