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Re: st: RE: analytic standard errors in quantile regression


From   "Jochen_Spaeth@t-online.de" <Jochen_Spaeth@t-online.de>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: analytic standard errors in quantile regression
Date   Wed, 03 Dec 2008 13:14:15 +0100

Hello Martin,

thank you very much for your comment. However, STATA's -clad- command is
not precisely what I am looking for since it relies on bootstrap
standard errors, too, which I could have performed with -bsqreg-, too.
Rather than that, I am looking for analytic standard errors for the
heteroskedasticity case.

Jochen

-----Original Message-----
Date: Wed, 03 Dec 2008 11:20:26 +0100
Subject: st: RE: analytic standard errors in quantile regression
From: "Martin Weiss" <martin.weiss1@gmx.de>
To: <statalist@hsphsun2.harvard.edu>


Line for the server...

***********
-findit clad-
***********

HTH
Martin


-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of
Jochen_Spaeth@t-online.de
Sent: Wednesday, December 03, 2008 11:16 AM
To: statalist@hsphsun2.harvard.edu
Subject: 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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