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From |
Maarten Buis <maartenlbuis@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Quantile vs Quartile regression |

Date |
Wed, 29 May 2013 09:29:41 +0200 |

On Wed, May 29, 2013 at 5:38 AM, David Hoaglin wrote: > For the .50 quantile, the summary you are fitting is the conditional > median, as a function of the predictors. In general it differs from > the conditional mean (i.e., the OLS regression). It can also be informative to consider when linear regression and quantile regression produce the same results. This occurs when the distribution of the error term is symmetric (this could be the normal/Gaussian distribution, but it could also be any other symmetric distribution). In addition the coefficients for the predictors will in this case be (approximately) the same regardless of which quantile is considered. *------------------ begin example ------------------ clear set obs 5000 gen x = rnormal() // this result does not require normally/Gaussian // distributed error term, to illustrate that I // use an error term with a uniform distribution gen y = -.5 + x + runiform() // the effect of x is the same for both linear // regression and quantile regression (regardless // of which quantile is being considered) reg y x sqreg y x, q(.25 .5 .75) *------------------- end example ------------------- (For more on examples I sent to the Statalist see: http://www.maartenbuis.nl/example_faq ) Hope this helps, Maarten --------------------------------- Maarten L. Buis WZB Reichpietschufer 50 10785 Berlin Germany http://www.maartenbuis.nl --------------------------------- * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: Quantile vs Quartile regression***From:*"JVerkuilen (Gmail)" <jvverkuilen@gmail.com>

**References**:**st: Quantile vs Quartile regression***From:*Shikha Sinha <shikha.sinha414@gmail.com>

**Re: st: Quantile vs Quartile regression***From:*David Hoaglin <dchoaglin@gmail.com>

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