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st: qreg: # of replications and covergence

From   <[email protected]>
To   <[email protected]>
Subject   st: qreg: # of replications and covergence
Date   Thu, 27 Apr 2006 18:32:40 +0100

Dear Satalist users

I am estimating a quantile regression for various quantiles with about
6000 individual observations and ca. 30 explanatory variables. Since I
have both aggregate(state) and individual level data combined, I thought
it might be better to have bootstrapped standard errors.

One economterician told me that I should use about 1000 replications,
but, on the other hand, I read that for bootstrapping only standard
errors but not the coefficients in a linear model (?) about 100
replications would suffice.

So my first question is: do I need 1000 replications ?

Second, I observed that the bootstrapping procedure does not converge
(with 1000 rep.). Stata then interrupts the bootstrapping process and
starts from the beginning again.
I have already used the wlsiter option to have more repetitions of the
first stage of the regression (now: 20), when a weighted estimation is
carried out. Increasing the number in  the wlsiter option should solve
convergence problems - but is does not in my case.

How can I make this animal converge ? 
(This problem is a bit mitigated when I use a smaller number of
replications (e.g. 100)  but still tendes to persist)

Thanks a lot

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