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From |
Mario Macis <[email protected]> |

To |
[email protected] |

Subject |
Re: st: quantile regression question |

Date |
Mon, 25 Jul 2005 22:09:57 -0500 |

Thanks Robert. Yes, I do want to include an interaction experience*ability in each regression. What you suggest (splitting the sample) is clearly a possiblity. However, with a quantile regression I would be using the entire sample, and observations would receive a different weight depending on how "far" they are from the quantile of interest. I just wonder if such a thing (quantile regression with quantiles NOT of the dependent variable but of another variable) has been done and, more important, if it makes sense... Tony On 7/25/05, Robert Duval <[email protected]> wrote: > quantile regression fits a line at different points of the CONDITIONAL > distribution of y given x, i.e. f(y|x). > > At each fixed value of x (i.e. x=x0) f(y|x=x0) gives you the > distribution of y after controlling for x (a distribution of the > errors in other words). Qreg fits a line at a given (prespecifed) > quantile of such distribution. > > If you're not including variable z as a regressor in the conditioning > set then qreg won't give you what you want as stated in your goal ( > "coefficients of experience in a series of wage regressions by > quantile of the distribuiton of ability"). > > If you're willing to assume exogeneity on your excluded variable z, it > seems to me that it would suffice to just split the sample by > quantiles of the excluded variable and run an ordinary regression over > each sample (a fully interactive model in other words). > > robert > > > On 7/25/05, Antonio Fanari <[email protected]> wrote: > > Hi, > > is it possible to run quantile regressions where the quantiles are not > > defined over the independent variable but over some other variable? > > Say you have wages as a dependent variable and another variable measuring > > ability (e.g. an IQ test). Suppose you want to see if the effect of, say, > > experience on wages varies across quantiles of ability. One way is to > > include interactions of experience*ability in a traditional OLS regression. > > However, I was wondering if there is a way to run quantile regressions, > > instead. So one would come up with coefficients of experience in a series of > > wage regressions by quantile of the distribuiton of ability. > > Please forgive me if the question does not make any sense, but I would > > appreciate any feedback! > > Thanks. > > Tony Fanari > > > > _________________________________________________________________ > > Don't just search. Find. Check out the new MSN Search! > > http://search.msn.click-url.com/go/onm00200636ave/direct/01/ > > > > * > > * For searches and help try: > > * http://www.stata.com/support/faqs/res/findit.html > > * http://www.stata.com/support/statalist/faq > > * http://www.ats.ucla.edu/stat/stata/ > > > > * > * For searches and help try: > * http://www.stata.com/support/faqs/res/findit.html > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: quantile regression question***From:*"Antonio Fanari" <[email protected]>

**Re: st: quantile regression question***From:*Robert Duval <[email protected]>

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