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Re: st: clustered bootstrapped standard errors in quantile regressions


From   Jorge Eduardo Pérez Pérez <perez.jorge@ur.edu.co>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: clustered bootstrapped standard errors in quantile regressions
Date   Thu, 7 Apr 2011 19:11:25 -0400

See this thread and all the follow ups:

http://www.stata.com/statalist/archive/2009-11/msg00864.html

_______________________
Jorge Eduardo Pérez Pérez



On Thu, Apr 7, 2011 at 11:37 AM, Stas Kolenikov <skolenik@gmail.com> wrote:
>
> On Thu, Apr 7, 2011 at 7:52 AM, Jacqueline S. Zweig <smith2@usc.edu> wrote:
> > Is there a program in Stata to calculate clustered bootstrapped
> > standard errors in quantile regressions?  It seems that SQREG  does
> > not support clustering and QREG does not support the bootstrap prefix.
> >
> > I could not find a response to this original post from a year ago with
> > the same question:
> > http://www.stata.com/statalist/archive/2010-03/msg01290.html
>
> In a recent wishful discussion of dynamic time series models features
> for a blockbuster Stata 12, people have been throwing references to
> technical literature. Can you point to one that derives a bootstrap
> procedure that would produce consistent standard errors for quantile
> regression? Until such a paper appears in JASA/Econometrica/Journal of
> Econometrics (CJS is also a possibility; I might have reservations
> about TAS), clustered bootstrap in quantile regression, although
> probably feasible via a combination of -bsweights-/-bs4rw-/-sqreg-,
> essentially rests on hand-waving and computing tricks rather than
> solid theory. If somebody stomps your paper because you did not use
> the right procedure, that's your academic reputation to gamble with.
>
> May be Austin Nichols or Steve Samuels think otherwise, and do know
> such references, in which case you'd want to listen to them :).
>
> --
> Stas Kolenikov, also found at http://stas.kolenikov.name
> Small print: I use this email account for mailing lists only.
>
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