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From | David M Kaplan <dkaplan@ucsd.edu> |
To | statalist@hsphsun2.harvard.edu |
Subject | st: qreg standard errors underlying formula |
Date | Wed, 1 Dec 2010 15:31:16 -0800 |
Hi all, I am wondering, does anybody know how Stata 11 calculates standard errors for qreg? The best information I currently have is footnote 6 from Koenker and Hallock (2000), on page 16 of http://www.econ.uiuc.edu/~roger/research/intro/rq.pdf ; which suggests that Stata uses an approach based on Siddiqui (1960) with m=n^{1/2}. I ran some simulations that approximately support this (they support the rate of m, at least), but any information more specific, or different, than that would be greatly appreciated! Dave * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/