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RE: Re: RE: st: Beta values in QREG


From   "Santos Silva, J.M.C." <jmcss@essex.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: Re: RE: st: Beta values in QREG
Date   Tue, 25 Jun 2013 09:57:54 +0100

Dear Maarten,

Apologies if I misread you but your reply shows that we have somewhat
different views about this; my points were:

a) you may want to use quantile regression for reasons that have nothing 
to do with avoiding using moments.

b) for the beta coefficients you need to change the scale of the regressors
and that has noting to do with moments of the dependent variable.

Anyway, I totally agree with you on the idea that not everything you can 
technically do makes substantive sense.

Joao

> I did not say that you would use quantile regression when the moments
> do not exist, I only said that you would use quantile regression when
> you wanted to avoid using the moments. Particular in skewed
> distributions there are good reasons for prefering percentiles over
> moments, even if the moments exist. In that case it is weird to use a
> technique whose purpose is to avoid those moments, and than use them
> again to define the scale of your dependent variable... I made an
> argument in the style "Not everything you can technically do makes
> substantive sense".
> 
> -- Maarten


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