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Re: st: Quantile regression and weights


From   Austin Nichols <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Quantile regression and weights
Date   Fri, 25 Jun 2010 15:48:53 -0400

Jacob Felson <felsonj@gmail.com> :
Don't pretend you have freq weights when you don't. You can manually
bootstrap by repeatedly resampling and estimating the qreg with
aweights, which works well in practice but takes a long time to run.
See
http://www.stata.com/statalist/archive/2007-09/msg00147.html
http://www.stata.com/statalist/archive/2009-04/msg00271.html
http://www.stata.com/statalist/archive/2009-11/msg00901.html
etc. on qreg,
and e.g.
http://www.stata.com/statalist/archive/2006-12/msg00471.html
on the "manual bootstrap" idea.

On Fri, Jun 25, 2010 at 3:05 PM, Jacob Felson <felsonj@gmail.com> wrote:
> Hello,
>
> 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?

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