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Re: st: qreg standard errors underlying formula


From   Stas Kolenikov <skolenik@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: qreg standard errors underlying formula
Date   Wed, 1 Dec 2010 20:58:37 -0500

Doesn't the manual describe this?

On Wed, Dec 1, 2010 at 6:31 PM, David M Kaplan <dkaplan@ucsd.edu> wrote:
> 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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-- 
Stas Kolenikov, also found at http://stas.kolenikov.name
Small print: I use this email account for mailing lists only.

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