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st: bootstrapping standard errors in quantile regression


From   Jorge Luis Castaneda Nunez <jl.castaneda71@uniandes.edu.co>
To   statalist@hsphsun2.harvard.edu
Subject   st: bootstrapping standard errors in quantile regression
Date   Mon, 03 Oct 2011 13:29:16 -0500

Dear stata listers:

I am trying to get the covariance matrix in order to test the difference between the coefficients of two quantile regressions. I know that Stata finds it by bootstrapping but in my case, it does not converge. I am wondering if there is another procedure to find the standard errors say for example, by an asymptotic approach.

Thanks!

JLC



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