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Re: st: Quantile Regression with FE


From   Jay Verkuilen <jvverkuilen@gmail.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Quantile Regression with FE
Date   Mon, 18 Feb 2013 10:02:57 -0500

On Sun, Feb 17, 2013 at 1:52 PM, Swanquist, Quinn Thomas <qswanqui@utk.edu> wrote:

> It seems the variable limit for IC that won't allow me to create the necessary binary variables for i.FEvar. 

Yes, IC has a variable limit. 


> Is there a more efficient way to estimate this similar to -xtreg-? Also, is there a way to remove the coefficients on i.FEvar similar to -areg-?


The relevant projection in L2 involves sweeping out the group means and then modeling the individual level residuals. Because this is an orthogonal projector it has certain desirable properties that make FE work the way its advertised. Switching to group medians would be the L1 analog but what are its properties? I'm not sure. 



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