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st: RE: Re: AW: problem with grqreg after qreg


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Re: AW: problem with grqreg after qreg
Date   Thu, 1 Jul 2010 19:16:00 +0200

<>


If you want analytic standard errors, go for the -qreg- solution, if not, go
for -bootstrap-ped -sqreg- standard errors. The feature that adds value in
the case of -sqreg- is that you can -test- across equations ([R], p. 1457),
but it does not apply for a "univariate" plot of one coefficient... 



HTH
Martin

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of xueliansharon
Sent: Donnerstag, 1. Juli 2010 18:43
To: statalist@hsphsun2.harvard.edu
Subject: st: Re: AW: problem with grqreg after qreg

Hi, Martin,

Thanks for your information! it's very helpful!

Then could you tell me whether I should use sqreg or qreg before grqreg if I
want to get a graph plotting all the coefficients before weight for quantile
0.1,0.2,...,0.9 regression? The confidence bands in two graphs are
different.

Another question, if I want to get quantile regression estimates for
quantile 0.1,0.2,0.3,..., should I use qreg for each quantile respectively
or use sqreg?  I compare the results from qreg and sqreg, the values of
estimates are the same, and the differences are standard errors, but this
make a big difference when we consider about the significance. So which
standard error is more reliable? qreg or sqreg? And is standard error the
only difference between qreg and sqreg?

Many thanks.

Best,
Sharon

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