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

[Alex Olssen <alex.olssen@gmail.com>]

I also am unclear on what you wish to achieve.  You said that you wanted 
to know the quantile of each person's residual.  I can suggest a way to 
calculate this, but I am unsure why you want it.

sysuse auto, clear
reg price length
predict res, res
sort res
gen quantile = round(_n/_N, 0.01)

Best,
Alex

On 18/04/13 9:12 PM, Nick Cox wrote:
> 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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