[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

From |
"Carlo Lazzaro" <carlo.lazzaro@tiscalinet.it> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: R: Quantile regression with stata |

Date |
Fri, 20 Feb 2009 10:20:42 +0100 |

Dear Tom, as far as I am concerned, two interesting references for qreg are: Roger Koenker. Quantile Regression. Cambridge University Press, 2005 (Paperback available). Roger Koenker, Kevin F. Hallock, "Quantile Regression", Journal of Economic Perspectives, Vol. 15, No. 4 (Fall 2001), pp. 143?15 http://www.econ.uiuc.edu/~roger/research/rq/QReco.pdf I suppose that Koenker's textbook covers (at least) some of the topics you are interested in. Sorry I cannot be more helpful. Kind Regards, Carlo -----Messaggio originale----- Da: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] Per conto di Tomas M Inviato: venerdì 20 febbraio 2009 1.19 A: statalist@hsphsun2.harvard.edu Oggetto: st: Quantile regression with stata Hello and thank you in advance, I am using quantile regression to model the 50th percentile for my data. Unfortunately, the resources are limited on qreg when comparing to the literature available for traditional regression models. Questions: 1. I am mainly focused on the 50th percentile. But, if I wanted to compare 25th and 75th models (using the sreg with q(0.25 0.50 0.75) option), I am wondering if it is better to use the same set of predictors for each percentile, or if I should use a different set of predictors for each percentile? I wonder about this since each percentile may have a different set of significant predictors (for example, age may be significant for the 50th percentile, but not significant for the 25th percentile). Thus, is it better to compare models for 25th 50th and 75th percentiles using the best fitted model with all relevant significant predictors? 2. My other question pertains to interpretation of coefficients. When I run a model with certain predictors, sometimes I get a very small coefficient (i.e. 5e-15). How do I interpret this, and what does this mean? I do notice that this disappears once I collapse the categories for the predictor. 3. What tools are available to assess goodness of fit for my qreg model? I have read through the qreg postestimation commands for stata, and it seems that linktest, and predict would be my only options (i.e. plots of residuals versus fitted values are available). I have also looked through the UCLA regression with stata web book section on quantile regression, and it also states that there are limited postestimation commands available. 4. This final question relates to question 3. What would be the best method for variable selection for my final model? Still would be backwards elimination? How would I do this in stata, given the limited availability of post estimation commmands? Just start with all variables in my model, then eliminate ones with p-value greater than 0.05 (or add ones with p-value less than 0.05 if I were to add stepwise procedures too)? Any help would be appreciated, as well as links to further references. Thank you for reading my long post. Tom _________________________________________________________________ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: Quantile regression with stata***From:*Tomas M <anon556656@live.ca>

- Prev by Date:
**st: Intra-household correlation** - Next by Date:
**st: pgmhaz/hshaz output, why does it look like this?** - Previous by thread:
**st: AW: Quantile regression with stata** - Next by thread:
**st: RE: Quantile regression with stata** - Index(es):

© Copyright 1996–2016 StataCorp LP | Terms of use | Privacy | Contact us | What's new | Site index |