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Re: st: RE: Quantile regression with fixed effects and first differences


From   Nick K <coffeemug.nick@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: Quantile regression with fixed effects and first differences
Date   Mon, 9 May 2011 19:51:03 +0200

Thanks for the reply. The thing is that I'm replicating another study
where they used median regression with fixed effects. The important
thing for me is just to be able to do it in Stata, I'll think about
the validity later.

Is there any way this can be done?

On Mon, May 9, 2011 at 3:10 PM, Jacobs, David
<jacobs.184@sociology.osu.edu> wrote:
> In the chapter that deals with quantile regression, Wooldridge claims that (much like nonlinear estimators such as logit) one can't get decent estimates by throwing in case dummy variables to obtain fixed effects in quantile regressions.  Check out the latest edition of Wooldridge, Jeffrey M. Econometric Analysis of Cross Section and Panel Data. MIT Press (I think the publication date is 2010).
>
> Dave Jacobs
>
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Nick K
> Sent: Monday, May 09, 2011 6:17 AM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: Quantile regression with fixed effects and first differences
>
> Hi,
>
> I've been battling with this issue for ages and can't seem to get it to work.
>
> I need to do a median regression with both time and individual fixed
> effects, and the dependent variable is in first differences.
>
> I've tried using xi:qreg .... i.year, etc., but the individual fixed
> effects would give me > 25,000 dummies which Stata/my PC can't handle.
>
> I think I've solved the first difference issue by manually doing it:
> gen fDepVar = d.DepVar, but the fixed effects are killing me!
>
> Thanks
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