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Re: st: qreg (median regression)


From   Nick Cox <njcoxstata@gmail.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: qreg (median regression)
Date   Sun, 7 Apr 2013 23:37:48 +0100

I think access to literature is made complicated by different names
here. Quantile regression,  L_1, median regression are among names
used. Much is under the heading robust regression in books on robust
statistics.
Nick
njcoxstata@gmail.com


On 7 April 2013 21:55, John Antonakis <John.Antonakis@unil.ch> wrote:
> Hi:
>
> I have been playing around with Stata's qreg, and have been reading up on
> when qreg is useful. For the case of median regression, I can't  find much
> literature on it, particularly about the small sample properties of the
> estimator.  Does anyone know of any simulation studies that compares the
> efficiency of the median-regression (LAD) estimator to that of the OLS
> estimator in small samples (and ideally with data having outliers)?
>
> Thanks.
> J.
>
> --
> __________________________________________
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