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From |
"Antonio Fanari" <[email protected]> |

To |
[email protected] |

Subject |
Re: st: quantile regression question |

Date |
Tue, 26 Jul 2005 03:29:54 +0000 |

Thanks! Tony

From: Robert Duval <[email protected]>_________________________________________________________________

Reply-To: [email protected]

To: [email protected]

Subject: Re: st: quantile regression question

Date: Mon, 25 Jul 2005 22:56:58 -0400

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

>

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

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