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Re: st: fixed effects quantile regression


From   "JVerkuilen (Gmail)" <jvverkuilen@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: fixed effects quantile regression
Date   Tue, 11 Dec 2012 22:34:23 -0500

I can't say based simply on syntax, but try running the same model
using -regress- to see if the same thing happens and then move up. If
it does then you have a problem with the right hand side
specification. Chances are good you have variables that are creating
severe multicollinearity. If it doesn't, see if you can get the model
to run for quantile regression without the id variables. Then keep
scaling up.

You also may end up making an X matrix that's too large for quantile
regression.

You may want to enter the variables in a principal components analysis
(-pca-) to study this further.
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