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


From   "Stas Kolenikov" <skolenik@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: R: analytic standard errors in quantile regression
Date   Wed, 3 Dec 2008 09:13:33 -0600

It does (section 3.4). I don't really know how you would take into
account the panel nature of your data though. At the very least, your
sandwich estimator (that's what's discussed in Koenker's book in that
section) should be summing over panels, not over individual
observations. I would seriously doubt anybody has implemented it.

On 12/3/08, Carlo Lazzaro <carlo.lazzaro@tiscalinet.it> wrote:
> 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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-- 
Stas Kolenikov, also found at http://stas.kolenikov.name
Small print: I use this email account for mailing lists only.

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