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Re: st: equality across quantile regressions WITHOUT sqreg


From   Maarten buis <maartenbuis@yahoo.co.uk>
To   statalist@hsphsun2.harvard.edu
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

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

http://www.maartenbuis.nl
--------------------------


      

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