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st: Quantile regression and weights

From   Jacob Felson <>
Subject   st: Quantile regression and weights
Date   Fri, 25 Jun 2010 15:05:10 -0400


I am wondering whether there is any way to run quantile regression
(qreg) with probability weights.  I understand that this cannot be
done directly, but I wondered if a work-around solution was advisable.
 (Namely, weighting the data beforehand.)  I tried to weight using the
analytical weight feature, bur ran into convergence problems when
trying to estimate a 0.1 quantile regression.  My dataset is a subset
of about 600K cases from the 2008 Public Use Microsample (PUMS) from
the US Census.  The weight I am trying to use is a probability weight
and has a very large range.  What about using frequency weights with
bootstrapped standard errors?

Thank you,

Jacob Felson
Assistant Professor
Department of Sociology
William Paterson University
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