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st: speeding up qreg


From   "Kuziemko, Ilyana" <ik2216@columbia.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: speeding up qreg
Date   Fri, 14 Jun 2013 10:28:32 -0400

Hi,

I am trying to estimate the difference in the cost distributions of two
different groups (group_a and group_b) for several different percentiles.
The only complication is that I need to control for about 280 fixed
effects, so I want the difference in the distributions netting out these
effects.  I have about 1.4 million observations.

Right now, I am estimating:

forval x=.1(.1).9 {
qreg cost group_a `list of fixed-effects' , quantile(`x')
}

Then I'll plot the _b[group_a] values for each value of `x'.

Is there a way to speed up this calculation (which is currently taking
forever)?  I just want to give a rough sense of where in the distribution
the cost differences between these two groups are largest.  I am not going
to use the standard errors at all and wonder if, perhaps, there was a way
to speed up the regression in that case.

Many thanks, ilyana


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