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st: RE: panel data management - dividing into quartiles

From   "Scott Merryman" <[email protected]>
To   <[email protected]>
Subject   st: RE: panel data management - dividing into quartiles
Date   Sun, 15 May 2005 16:17:39 -0500

I would not recommend you go this, but instead use quantile regression
(-qreg-) to examine the conditional distribution of assets.

Partitioning the dependent variable into quartiles could produce incorrect
results.  Koenker and Hallock (2001 "Quantile Regression" Journal of
Economic Perspectives, 15:4 pages 143 -156) refer to this as "truncation on
the dependent variable."  This method of truncation is vulnerable to
selection bias, since one is truncating the full sample based on the
dependent variable in the model. This can produce both biased and
inconsistent estimates.


> -----Original Message-----
> From: [email protected] [mailto:owner-
> [email protected]] On Behalf Of Crystal Lopez
> Sent: Sunday, May 15, 2005 3:10 PM
> To: [email protected]
> Subject: st: panel data management - dividing into quartiles
> Hi,
> I have a panel data set, with data on a number of
> companies over a number of years. Each observation is
> a particular company and year, and has various data
> for that observation.
> I would like to divide my data into 4 quartiles or 5
> quintiles, on the basis of one of my variables,
> assets. So I would like to create a variable, call it
> quartile, that has the value 1 if that observation is
> in the top quartile of assets for that year, has the
> value 2 if that observation is in the second quartile
> of assets for that year, etc. (So of course a company
> might have different values of "quartile" in different
> years, depending on which quartile of assets it fits
> into in a particular year. The quartiles will probably
> contain somewhat different companies in each year.)
> The reason that I want to do this is that I can run
> regressions separately for each quartile.
> I was thinking that I would need to use the by var:
> command, as in "by assets: ", but I'm not sure how to
> do it, although it seems like it should be simple.
> Thanks in advance for any help!
> Crystal

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