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RE: st: Beta values in QREG


From   "Scott Holupka" <scott.holupka@jhu.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Beta values in QREG
Date   Mon, 24 Jun 2013 09:30:37 -0400

No, I'm not getting the same results, which is what I expected, so I wanted
to be sure there wasn't a more fundamental problem I was missing or if I had
just made some mistake in my coding.  

Based on your response, as well as Maarten's, I think my answer is both
that: a) I made some sort of coding mistake that's throwing off the results,
and b) even if I compute it correctly it may not make sense to use because
standardized scores since the reason for using quantile/median regression is
that there is evidence of non-normality, so why adjust by a measure of
central tendency that will be biased.

Thanks for the advice.

Scott


-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Santos Silva,
J.M.C.
Sent: Sunday, June 23, 2013 5:09 AM
To: statalist@hsphsun2.harvard.edu
Subject: RE: st: Beta values in QREG

Dear Scott,

What exactly do you mean when you say that running qreg with standardized
variables leads to different results? The results should be exactly the same
(I mean, the R2, objective function, etc), except that the coefficients of
the regressors are now multiplied by the standard errors of the original
regressors. 
Don't you get this?

All the best,

Joao


> From           "Scott Holupka" <scott.holupka@jhu.edu>
> To           <statalist@hsphsun2.harvard.edu>
> Subject           st: Beta values in QREG
> Date           Fri, 21 Jun 2013 16:03:55 -0400
> 
> 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.
> 
> 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.
> 
> Thanks for any advice.
> 
> Scott Holupka
> 
> 
> C. Scott Holupka, Ph.D.
> Senior Research Associate
> Johns Hopkins University
> Institute for Policy Studies
> 3400 N. Charles St.
> Baltimore, MD 21218-2688
> 
> 410-516-5046
> Scott.Holupka@jhu.edu
> 
> 
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> From: Maarten Buis <maartenlbuis@gmail.com>
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