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Re: st: How to compare coefficients from ols and quantile regressions


From   "JVerkuilen (Gmail)" <jvverkuilen@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: How to compare coefficients from ols and quantile regressions
Date   Tue, 27 Nov 2012 11:21:05 -0500

On Tue, Nov 27, 2012 at 9:54 AM, Buchs M. <M.Buechs@soton.ac.uk> wrote:
> Hi all,
>
> I've run two regressions, one OLS and one quantile on the 75th percentile, using the same sample, dependent and independent variables (the dependent variable being household emissions). Now I'd like to test whether the coefficients for individual IVs from these two regressions are significantly different - is this possible and do you know how I could do this in STATA?>

There's no particularly good reason that a QR for the third quartile
would be directly comparable to the OLS coefficients that I know of,
but perhaps I'm wrong. Medians often are, as long as the error
distribution is symmetric and doesn't have heavy tails. What you might
want to try doing is generate meaningful comparison cases and compute
the predicted 75th percentile from both regressions.

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