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Re: st: Quantile vs Quartile regression


From   Shikha Sinha <shikha.sinha414@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Quantile vs Quartile regression
Date   Wed, 29 May 2013 10:32:00 -0700

Thanks everyone!. They were very informative econometrically. The
reason why I asked the difference between OLS on quartile and quantile
regression is because I want to run IVQR with continuous endogenous
treatment variable. I can't use -ivqte as it needs a binary endogenous
variable. Someone suggested me to divide the sample into different
quartiles and run -ivreg2 on each quartile separately.

I came across the use written syntax -ivqreg, but am unable to install
it and could not find the ado package. Any help in this regard is
again highly appreciated.

Thanks,
Shikha

On Wed, May 29, 2013 at 5:53 AM, JVerkuilen (Gmail)
<jvverkuilen@gmail.com> wrote:
> 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
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