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RE: st: Reconciling Quantile Regression Results


From   "Santos Silva, J.M.C." <[email protected]>
To   <[email protected]>
Subject   RE: st: Reconciling Quantile Regression Results
Date   Thu, 6 Feb 2014 10:34:46 GMT

Dear Bob,

My guess is that you are using Stata 13 at home and an earlier version
in the office. (Stata 13 has a different way of computing standard errors
for qreg.) You should be able to replicate the office results at home using
the -version- command; the other way around is more difficult, but if you 
want to compute robust standard errors you can try qreg2 instead of 
qreg ;-)

All the best,

Joao

> 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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