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Re: st: equality across quantile regressions WITHOUT sqreg

From   Maarten buis <>
Subject   Re: st: equality across quantile regressions WITHOUT sqreg
Date   Mon, 27 Sep 2010 13:49:25 +0000 (GMT)

--- On Mon, 27/9/10, Lim, Raymond wrote:
> Can I test equality of coefficients across different
> quantile regressions (.25 .50 .75) manually after running
> qreg? If so, would the calculation be the usual "coefficient
> +or- 1.96*SE" and see whether the 95% confidence intervals
> overlap?

Unfortunately no, that method never works. Basically you are 
missing the covariance of the joint sampling distribution.
Hope this helps,

Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen


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