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st: suest after quantile regression

From   xueliansharon <>
Subject   st: suest after quantile regression
Date   Fri, 27 Aug 2010 11:34:52 -0700 (PDT)

Dear all,

I want to test the equality of coefficients from two quantile regression
models, but -suest- doesn't support after the -qreg-, I wonder whether
"stacking" method of Austin Nichols can be applied
to this case.

That is:

the models I want to test are like:

est clear 
sysuse nlsw88, clear 
qreg wage hours age if south==1, quantile(10)
est sto south 
reg wage hours age if south==0, quantile(10) 
est sto nonsouth 
suest south nonsouth

however, -suest- doesn't work after -qreg-, so I want to use the "stacking"
method as:

est clear 
sysuse nlsw88, clear 
gen nonsouth=0
replace nonsouth=1 if south==0
expand 2
bys idcode: g n=_n
keep if (n==1&south)|(n==2&nonsouth)
gen hours1=hours*!(n==1&south)
gen hours2=hours*!(n==2&nonsouth)
gen age1=age*!(n==1&south)
gen age2=age*!(n==2&nonsouth)
qreg wage hours1 hours2 age1 age2 n, quantile(10)
test (_b[hours1]=_b[hours2]) (_b[age1]=_b[age2])

Is this procedure correct? I am not sure whether there's any problem to use
"stacking" method after quantile regression.

Any help will be greatly apprecitated.


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