Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down at the end of May, and its replacement, statalist.org is already up and running.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: st: Quantile vs Quartile regression


From   "JVerkuilen (Gmail)" <jvverkuilen@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Quantile vs Quartile regression
Date   Wed, 29 May 2013 08:53:48 -0400

On Wed, May 29, 2013 at 3:29 AM, Maarten Buis <maartenlbuis@gmail.com> wrote:
>

> 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.

Slight nit: In the presence of a symmetric heavy tailed error
distribution such as a t(2) or a Cauchy, OLS will have substantial
trouble compared to quantile regression.


--
JVVerkuilen, PhD
jvverkuilen@gmail.com

"They were careless people, Tom and Daisy - they smashed up things and
creatures and then retreated back into their money of their vast
carelessness, or whatever it was that kept them together, and let
other people clean up the mess they had made." -- F. Scott Fitzgerald
*
*   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/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index