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Re: st: command or method for logistic quantile regression in Stata


From   Steve Samuels <sjsamuels@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: command or method for logistic quantile regression in Stata
Date   Thu, 16 Sep 2010 08:39:38 -0400

Doug,
Please supply some references.  Here is a reference to doing quantile
regression with local logistic regression, but that is an alternative
to ordinary quantile regression, not to logistic regression.

Steve
Steven J. Samuels
sjsamuels@gmail.com



Y - JOUR
JO - Journal of Nonparametric Statistics
PB - Taylor & Francis
AU - Lee, Young Kyung
AU - Lee, Eun Ryung
AU - Park, Byeong U.
TI - Conditional quantile estimation by local logistic regression
SN - 1048-5252
PY - 2006
VL - 18
IS - 4
SP - 357
EP - 373
AB - In this article, we propose a new nonparametric estimator of the
conditional quantile function. It is based on locally fitting a
logistic model. We compare the new proposal with some existing
methods. Those include the double-kernel technique of Yu and Jones
(1998), the adjusted version of the Nadaraya–Watson estimator
suggested by Hall et al. (1999) and the approach by Koenker and
Bassett (1978) based on the ‘check function’ loss. The comparison is
done by asymptotic mean squared error and a simulation study. The four
estimators have the same asymptotic variance, but their first-order
biases are different. We also propose a new automatic smoothing
parameter selection method in quantile estimation. We analyze the
finite sample properties of the quantile estimators using the proposed
bandwidth selectors. We find that the new method outperforms the
others in most cases of the numerical experiments. (References: Yu, K.
and Jones, M.C., 1998, Local linear quantile regression. Journal of
the American Statistical Association, 93, 228–237; Hall, P., Wolff,
R.C.L. and Yao, Q., 1999, Methods for estimating a conditional
distribution function. Journal of the American Statistical
Association, 94, 154–163; Koenker, R. and Bassett, G.S., 1978,
Regression quantiles. Econometrica, 46, 33–50.)
UR - http://www.informaworld.com/10.1080/10485250601014248
ER -

Steve

On Thu, Sep 16, 2010 at 3:39 AM, Maarten buis <maartenbuis@yahoo.co.uk> wrote:
> --- On Wed, 15/9/10, Doug Hess wrote:
>> Are there any special commands (or steps if there is not a
>> direct command) for running quantile regression for a binary
>> dependent variable in Stata?
>
> I don't think quantile regression makes much sense for binary
> variables. Any quantile of a binary regression can only be 0
> or 1 (maybe one arbitrary number in between if the order
> statistic required for your quantile isn't an integer). So
> whatever you do, you should end up with either a horizontal line
> at 0 or 1, or a step function switching between 0 or 1.
>
> Hope this helps,
> Maarten
>
> --------------------------
> Maarten L. Buis
> Institut fuer Soziologie
> Universitaet Tuebingen
> Wilhelmstrasse 36
> 72074 Tuebingen
> Germany
>
> http://www.maartenbuis.nl
> --------------------------
>
>
>
>
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>

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