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RE: st: Quantile Regression


From   "Santos Silva, J.M.C." <jmcss@essex.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Quantile Regression
Date   Wed, 3 Oct 2012 09:32:46 +0100

Dear Rob,

You can save a lot of time by using qreg2 (from ssc) which gives you
standard errors that are asymptotically equivalent to those obtained 
by bootstrap and, unlike the ones produced by qreg, are valid under
heteroskedasticity and misspecification. 

You can find more information about this in my webpage.

All the best,

Joao

> 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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