RE: st: qreg (median regression)

["Santos Silva, J.M.C." <jmcss@essex.ac.uk>]

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
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> http://www.hec.unil.ch/people/jantonakis
> 
> Associate Editor
> The Leadership Quarterly


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