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Re: Re: st: Quantile regression: determine to which quantile an individual belongs


From   Nick Cox <njcoxstata@gmail.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: Re: st: Quantile regression: determine to which quantile an individual belongs
Date   Thu, 18 Apr 2013 12:12:24 +0100

I can't see that "the quantile each individual belongs to" is a
well-defined concept.

Clearly you  can work out a percentile rank for each response, without
regard to the predictors. Or you can see where individual residuals
lie in the distribution of residuals.

But I don't think that either is what you are seeking.

I am not clear whether you are thinking of a point or an interval, but
that's secondary.

Stripping it down to a minimal example: We have a quantile regression
for weight versus height. I am a data point with a certain weight and
height. What quantile do I belong to? What's your definition?


Nick
njcoxstata@gmail.com


On 18 April 2013 11:50, Maria Juul Hansen <maria@lindely.dk> wrote:
> Dear Alex
>
> Thank you for your comment and reference!
> I am aware of the endogeneity problem. However, the purpose is not to
> establish causal effects, just to control for the variables of interest.
>
> Do you have any recommendations regarding the problem of identifying the
> quantiles each individual belongs to?
>
> Best regards,
> Maria
>
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