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st: RE: Quantile Regression Confidence Intervals


From   "Jeff" <[email protected]>
To   <[email protected]>
Subject   st: RE: Quantile Regression Confidence Intervals
Date   Thu, 14 Apr 2011 11:07:18 -0700

In Stata 10:

I found two syntax formulas to produce confidence intervals around an
ols regression trend line.  I would like to know if these two sytax
formulas work for a quantile regression (median or any of the other
quantiles.)

First:
regress price sf
predict price
predict se, stdp
display invttail (30, .05/2)    

[Where 30 = degrees of freedom for computing the t value - say t=2]

generate ll = price - 2*se
generate ul = price + 2*se 

I got the above syntax formula from Statistics with Stata by Hamilton

Second:
regress price sf
local level = (100-95)200
generate ll = price - invttail(e(df_r), `level')*se
generate ul = price + invttail(e(df_r), `level')*se

I got this formula from Prof. Cox.

Question will each of these syntax formulas work with a quantile
regression on any of the quantiles?
Are the degrees of freedom different between an ols regression and a
quantile regression for the different quantiles? 

Thank you in advance.


Jeffrey B. Wolpin
 



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