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st: qreg and reghv with pooled cross-sectional data


From   Adam Cheung <[email protected]>
To   [email protected]
Subject   st: qreg and reghv with pooled cross-sectional data
Date   Tue, 22 May 2012 15:20:28 +0800 (SGT)

[email protected]. 

Dear all Statalisters, 

I would like to compare the distribution (probably variance and quantiles)of an interval variable X across two or more waves of cross-sectional data. 

The variable is not normally distributed, so I prefer looking at the quantiles. Perhaps I will need to control another variable too. Can I just simply pool the repeated waves of data and run a -sqreg- like:

sqreg X wavevar controlvar, q(.1 .25 .5 .75 .9) 

Is this method problematic because of the possible autocorrelation of the pooled data? Similarly, Is it problematic if I use -reghv- to use wave as a predictor of log-variance with a hetereoscdastic regression?

Any suggestion? Thanks very much.

Regards,
Adam

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