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Re: st: equality across quantile regressions WITHOUT sqreg


From   Scott Merryman <scott.merryman@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: equality across quantile regressions WITHOUT sqreg
Date   Mon, 27 Sep 2010 09:58:19 -0500

On Mon, Sep 27, 2010 at 8:49 AM, Maarten buis <maartenbuis@yahoo.co.uk> wrote:
> --- 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.

Inaddition, you might the following article of interest:

Wolfe, R and Hanley, J  (2002), "If we're so different, why do we keep
overlapping? When 1 plus 1 doesn't make 2", Canadian Medical
Association Journal, 166: 65-66.

Avaliable at
http://www.cmaj.ca/cgi/reprint/166/1/65

Scott
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