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st: Block bootstrapping in quantile regression


From   Jorge Eduardo Pérez Pérez <perez.jorge@ur.edu.co>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Block bootstrapping in quantile regression
Date   Mon, 16 Nov 2009 18:11:07 -0500

Hi everybody

I'm trying to estimate an interquantile range regression with
block-bootstrapped standard errors. I've a dataset of cities and
months and i'm trying to estimate a differences in differences model,
so i need the bootstraped s.e's to take into account the
within-cluster correlation. Computation of the regressions using iqreg
is VERY slow, so I tried something like

program myqreg, eclass
version 11
syntax varlist  [, `options' Q1(real .25) Q2(real 0.75)]
gettoken depv vl : varlist
tempname b1 b2 beta
qui qreg `depv' `vl', quantile(`q1')
matrix `b1'=e(b)
qui qreg `depv' `vl', quantile(`q2')
matrix `b2'=e(b)
matrix `beta'=`b2'-`b1'
ereturn post `beta'
end

glo seed=4020
bootstrap _b , rep(200) cluster(city) idcluster(icity) seed($seed):
myqreg lwage _Iciudad* _Iañomes* treatment

However, it doesn't seem to work. Every bootstrap replication fails.

Any suggestions? Thank you !
_______________________
Jorge Eduardo Pérez Pérez

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