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RE: st: How to test equality of coefficients across quantiles using QREG or SQREG


From   Maarten buis <maartenbuis@yahoo.co.uk>
To   statalist@hsphsun2.harvard.edu
Subject   RE: st: How to test equality of coefficients across quantiles using QREG or SQREG
Date   Sat, 11 Jul 2009 20:26:56 +0000 (GMT)

--- On Sat, 11/7/09, Murtaza, Fowad wrote:
> I am bit confused understanding the stata help comment on
> sqreg. Does it mean that we can directly compare the 
> confidence intervals if we want to confirm that coefficient
> of say quantile 10 is different from coefficient of
> quantile 20?

No, but that has nothing to do with -sqreg-. If you want to
test whether two estimates (whatever estimates) are equal
you cannot do so by looking if the confidence intervals 
overlap.
 
> In fact, after estimating sqreg for 10 quantiles, I want to
> see if the coefficient of a variable (e.g. urban) in 
> quantile 10 is significantly different coefficient of same
> variable (urban) in quantile 20 or 30?

You can use the -test- command, like in the example below.

*------------ begin example -------------
sysuse auto, clear
sqreg price weight length foreign, ///
      quantile(.25 .5 .75) reps(100)
test [q25]weight = [q50]weight
*------------ end example ---------------
 
Referring to your question you would type something like:
test [q10]urban = [q20]urban = [q30]urban

Hope this helps,
Maarten

-----------------------------------------
Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen
Germany

http://home.fsw.vu.nl/m.buis/
-----------------------------------------





      

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