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st: R: analytic standard errors in quantile regression


From   "Carlo Lazzaro" <carlo.lazzaro@tiscalinet.it>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: R: analytic standard errors in quantile regression
Date   Wed, 3 Dec 2008 14:03:18 +0100

Dear Jochen,
some threads ago, the following textbook was quoted on the list:

Roger Koenker. Quantile Regression. Cambridge University Press, 2005
(Paperback).

Unfortunately, since I have ordered some days ago, I do not know whether or
not its contents tackle your problem.

Kind Regards,
Carlo

-----Messaggio originale-----
Da: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] Per conto di
Jochen_Spaeth@t-online.de
Inviato: mercoledì 3 dicembre 2008 11.16
A: statalist@hsphsun2.harvard.edu
Oggetto: st: analytic standard errors in quantile regression

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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