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Re: st: Reconciling Quantile Regression Results


From   Steve Samuels <sjsamuels@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Reconciling Quantile Regression Results
Date   Wed, 5 Feb 2014 18:26:50 -0500

I think this is a question for Stata support, who likely will want to
see the data set. Are the Statas identical? Check by typing -about- on
each. Also, what are the OS's?

You say you have tried "everything"; does that setting non-default vce()
options for -qreg-?


Steve Samuels
sjsamuels@gmail.com


On Feb 5, 2014, at 2:28 PM, Robert B Williams <bwillia2@guilford.edu> wrote:

Dear Statalist


I have a curious problem. I am using quantile regression to estimate
the betas and standard errors of a data set with five implicates for
each household. Using the same do file and data file ( both on a thumb
drive) I get different results on two different computers, home and
office. The estimates for the beta cofficients for both are
essentially the same while the standard errors are wildly different.
(I have attached the results from each computer below using the same
do file.) Obviously, I have tried to control for everything, but have
found nothing to answer the discrepancy. I have located the
discrepancy to the following step within the longer do file.


statsby  _se  if (age<66), by (imp)  : qreg networthK  ZAgeCl1 ZAgeCl2
ZAgeCl3 ZAgeCl4 ZWhite  ZKids ZNormalYK  ZDidSave  ZCreditGood
ZLegacyImp ZLRPlanHor ZLifeRemain ZLatePay ZUnemployHouse ZBankruptcy
ZHomeOwner hprim_mort ZHasOthReal ZHasStocks ZHasBus ZRiskTaker
ZHasEducDebt ZRecInherit ZExpInheritValK  ZFinLucky, quantile (.90)


However, the same command generates similar (virtually identical)
betas and different standard errors.

Below are the results from one computer and then another.

Office Results:

varname        beta      sigma       tstat   signf
------------------------------
-------------------------------
1.          _ZAgeCl1     -49.26508    13.56417   -3.632001     ***
2.          _ZAgeCl2     -59.56253   11.21504   -5.310952     ***
3.          _ZAgeCl3     -66.35434   10.08387   -6.580249     ***
4.          _ZAgeCl4     -53.12152   10.45471   -5.081109     ***
5.           _ZWhite      -10.01998   5.160771   -1.941567       *
-------------------------------------------------------------
6.            _ZKids       -2.201806    2.071385   -1.062963
7.        _ZNormalYK    23.00146    .7403392    31.06881     ***
8.         _ZDidSave     -13.60232     5.286685    -2.57294      **
9.      _ZCreditGood    4.081276      5.569656    .7327698
10.       _ZLegacyImp  5.381646       4.49124    1.198254
-------------------------------------------------------------
11.       _ZLRPlanHor    -9.36632      5.308161   -1.764513       *
12.      _ZLifeRemain    .1218808      .1869905    .6518021
13.         _ZLatePay      4.8959         10.39511    .4709811
14.   _ZUnemployHouse 7.037433     6.363559    1.105896
15.      _ZBankruptcy    6.262784      6.837511    .9159451
-------------------------------------------------------------
16.       _ZHomeOwner    23.97475   14.21518    1.686559       *
17.       _hprim_mort   -69.95344      14.28528   -4.896891     ***
18.      _ZHasOthReal    81.05359     38.13787    2.125278      **
19.       _ZHasStocks    4.804673       7.735104    .6211517
20.          _ZHasBus     396.266          21.40136    18.51593     ***
-------------------------------------------------------------
21.       _ZRiskTaker       9.442237       6.313608    1.495537
22.     _ZHasEducDebt -16.83249        6.137966   -2.742357     ***
23.      _ZRecInherit      .5936526        6.310728    .0940704
24.  _ZExpInheritValK    1.586981        .0537434    29.52886     ***
25.        _ZFinLucky    .2072812          5.082915      .04078
-------------------------------------------------------------
26.             _cons        31.75737         12.20822     2.60131     ***






Home Results

varname        beta      sigma       tstat   signf
------------------------------
-------------------------------
1.          _ZAgeCl1    -49.26507     286.9954     -.171658
2.          _ZAgeCl2    -59.56252     206.6773     -.2881909
3.          _ZAgeCl3    -66.35435     169.4279     -.3916376
4.          _ZAgeCl4    -53.12151     140.72111     -.377495
5.           _ZWhite    -10.01998       119.2511      -.040242
-------------------------------------------------------------
6.            _ZKids      -2.201802      41.99823     -.0524261
7.        _ZNormalYK   23.00146      .7515529      30.06524     ***
8.         _ZDidSave   -13.60232       105.5748     -.1288406
9.      _ZCreditGood    4.081271       120.856        .0337697
10.       _ZLegacyImp  5.381646       98.09854      .0548596
-------------------------------------------------------------
11.       _ZLRPlanHor    -9.36616     104.1479     -.0899328
12.      _ZLifeRemain    .1218808     4.063498       .029994
13.         _ZLatePay      4.895901     228.7711      .0214008
14.   _ZUnemployHouse 7.037432   143.9856     .048876
15.      _ZBankruptcy    6.262784     157.4319     .03978091
-------------------------------------------------------------
16.       _ZHomeOwner  23.97475    172.3645    .1390934
17.       _hprim_mort   -69.95345     136.6182       -.512036
18.      _ZHasOthReal    81.05359   127.5272    -.6355788
19.       _ZHasStocks    4.804671   120.1264    .0399968
20.          _ZHasBus     396.266     122.9045     3.224178     ***
-------------------------------------------------------------
21.       _ZRiskTaker       9.442244   112.3682     .0840295
22.     _ZHasEducDebt   -16.83249  140.7864     -.1195605
23.      _ZRecInherit       .5936565    119.3811     .0049728
24.  _ZExpInheritValK    1.586981   .1220853       12.92275    ***
25.        _ZFinLucky      .2072808     115.2274      .0017989
-------------------------------------------------------------
26.             _cons         31.75737      223.852


Any ideas? I am perplexed.

Bob
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