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Re: st: Endogeneity in quantile regression


From   Scott Merryman <scott.merryman@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Endogeneity in quantile regression
Date   Mon, 5 Jul 2010 20:04:18 -0500

Did you try it without the -nodots- option?  I get this:


.        bootstrap _b , reps(1000) seed(10101) : qregivb
(running qregivb on estimation sample)

Bootstrap replications (1000)
----+--- 1 ---+--- 2 ---+--- 3 ---+--- 4 ---+--- 5
xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx    50
xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx   100
xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx   150
xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx   200
xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx   250
xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx   300
xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx   350
xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx   400
xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx   450
xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx--Break--

I would suspect the problem the tempvar used the -qreg- regression.
Try using explicit variables.

Also, the line -ereturn local cmd "schrural19"- going to return an error.

Scott


On Mon, Jul 5, 2010 at 9:40 AM, xueliansharon <xuelianstata@gmail.com> wrote:
> Dear all,
>
> I want to do quantile regression, but I have an endogenous variable, so I
> regress the endogenous variable price on IVs in the first stage and get the
> predicted value for price, then do quantile regression of mpg on foreign and
> pricehat, after that I bootstrap the whole program to correct for the
> standard errors.  But I get an error message "Convergence not achieved". So
> can anybody help me to figure out the mistakes in my codes? Many thanks.

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