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st: Quantile Regression


From   Robert Davidson <rhd773@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Quantile Regression
Date   Tue, 2 Oct 2012 16:18:01 -0400

Hello Statalist,

I estimated a simultaneous quantile regression using sqreg and thought
I was getting bootstrapped standard errors because it says it is
bootstrapping.  However, I get different standard errors then when I
estimate the same quantiles separately using bsqreg.  Does someone
know the reason for this?  It matters to me because my sample has
several million observations and employs fixed effects and takes many
hours to run.  I would like to use sqreg because I can set my computer
to run overnight and have it complete in the morning (or maybe mid
afternoon) but if I use bsqreg I have to check it every couple of
hours and re run the code with the new quantile.

On a related note, is there a way to compute sampling weights for
quantile regressions?  I believe it only accepts frequency weights and
analytic weights as listed options.  This would dramatically reduce
the run time for some of my programs and not use up all the memory and
then have them crash.

Thank you,
Rob
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