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Re: st: Beta values in QREG


From   Maarten Buis <maartenlbuis@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Beta values in QREG
Date   Sat, 22 Jun 2013 21:34:00 +0200

On Fri, Jun 21, 2013 at 10:03 PM, Scott Holupka wrote:
> Does anyone know if there is a statistical reason why the Stata quantile
> regression program "qreg" does not provide an option for producing beta
> values?  I know a question about beta values in qreg was raised just a few
> months ago, and the one response suggested that there might be a statistical
> reason why the option wasn't available, but I didn't see anything more
> definitive.

The logic behind quantile regression is all about avoiding the first
(and second) moments and replacing those by the more robust quantiles.
So substantively it would not make much sense to bring those moments
back in a quantile regression by standardizing your variables. If you
thought that your data was so problematic that you needed the more
robust quantile regression, then it would be weird to use the
non-robust standard deviation to define the scale of your variable. It
is technically possible, but I would not recommend it.

> I did try standardizing all of my variables and re-running QREG, as had been
> previously suggested, but the results between the unstandardized and
> standardized models seem so different I'm not sure if I did something wrong
> or if there's a more fundamental reason why the results don't line up.

In order for us to be able to judge that we would need to see what you
have done. We cannot spot errors in code you don't show us.

-- Maarten

---------------------------------
Maarten L. Buis
WZB
Reichpietschufer 50
10785 Berlin
Germany

http://www.maartenbuis.nl
---------------------------------
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