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RE: st: qreg (median regression)


From   "Santos Silva, J.M.C." <jmcss@essex.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: qreg (median regression)
Date   Wed, 10 Apr 2013 08:56:13 +0100

Dear John,

It is not clear that it generally makes sense to compare the efficiency of median 
and mean regression. Unless you impose the strong condition that the errors
have a symmetric distribution, the two regressions estimate different quantities
so efficiency is unlikely to be a good criterion to choose between the two.

All the best,

Joao


> 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.
> 
> --
> __________________________________________
> 
> John Antonakis
> Professor of Organizational Behavior
> Director, Ph.D. Program in Management
> 
> Faculty of Business and Economics
> University of Lausanne
> Internef #618
> CH-1015 Lausanne-Dorigny
> Switzerland
> Tel ++41 (0)21 692-3438
> Fax ++41 (0)21 692-3305
> http://www.hec.unil.ch/people/jantonakis
> 
> Associate Editor
> The Leadership Quarterly


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