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st: qreg standard errors underlying formula
From
David M Kaplan <[email protected]>
To
[email protected]
Subject
st: qreg standard errors underlying formula
Date
Wed, 1 Dec 2010 15:31:16 -0800
Hi all,
I am wondering, does anybody know how Stata 11 calculates standard
errors for qreg?
The best information I currently have is footnote 6 from Koenker and
Hallock (2000), on page 16 of
http://www.econ.uiuc.edu/~roger/research/intro/rq.pdf ; which suggests
that Stata uses an approach based on Siddiqui (1960) with m=n^{1/2}.
I ran some simulations that approximately support this (they support
the rate of m, at least), but any information more specific, or
different, than that would be greatly appreciated!
Dave
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