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st: Re: Endogeneity in quantile regression


From   xueliansharon <xuelianstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: Endogeneity in quantile regression
Date   Mon, 5 Jul 2010 19:32:33 -0700 (PDT)

Dear Scott,

I delete the "nodots" option and change the local cmd "qregivb", but I can
not understand what you mean about "use the explicit variable", could you
explain it more clearly? Or could you provide the correct codes to me? 

Now I get the error message as "insufficient observations to compute
bootstrap standard errors
no results will be saved".  

My codes are:

sysuse auto, clear 
 program qregivb, eclass 
        version 11.1 

        // Stage 1 
                tempvar pricehat 
        regress price foreign weight length 
       	 predict `pricehat', xb 

        // Stage 2 
        foreach q of numlist 10 20 30 { 
                qreg mpg foreign `pricehat', quantile (`q') 
                                
                                matrix b`q'=e(b) 
                                matrix colnames b`q'=q`q': 
                                matrix b=nullmat(b), b`q' 
                } 
                gen e=e(sample) 
                qui count if e 
                eret post b, dep(sch) es(e) obs(`r(N)') 
                ereturn local cmd "gregivb" 
                ereturn local properties "b" 
                
        end 

        bootstrap _b , reps(2000) seed(10101): qregivb 

Thanks,
Sharon

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