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st: OLS and Quantile Regression Estimates
From
Ian Li <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: OLS and Quantile Regression Estimates
Date
Mon, 28 Mar 2011 15:24:49 +0800
Dear all,
I have some queries regarding the results of a hedonic equation (say, Y = X1+X2+X3+e) that I ran using both OLS and quantile regression. In particular, when I look at the results for one dummy variable, say, X1, the OLS equation estimates the coefficient on X1 at 0.03, and it is significant at the 10% level. However, the quantile regression estimates for every 5th percentile provides estimates ranging from 0.04 to 0.15, and they are all statistically insignificant. What I would like to know is if this implies any mistakes I have made in the estimations? Is it possible for the OLS estimate to be outside of the range of quantile regression estimates for the same exact model?
Regards
Ian
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