I haven't seen the graphs, but I have an ado that does this -- well
actually, it just goes through a set of quantiles and stores the qreg
coefficients and upper and low confidence intervals for all variables in the
model in a new dataset. You would then have to issue graph commands on the
resulting dataset to get what you want (a connected scatter plot with an
rcap plot?) .
I originally wrote the ado a few years ago, but I've updated it to v8.
However, it uses separate calls to qreg, so you may want to check out sqreg
for simultaneous estimation of the confidence intervals.
If you'd like the ado I can email it to you -- there's no help file and it
doesn't yet allow weights, but other than that it should work OK.
Michael Blasnik
[email protected]
----- Original Message -----
From: "Pagan, jose" <[email protected]>
To: <[email protected]>
Sent: Thursday, January 08, 2004 8:54 PM
Subject: st: plot/graph of quantile regression coefficients
> Dear All, A while ago someone posted a message on whether anyone had a do
file to plot the coefficients of a given independent variable from a set of
quantile regressions. I could not find a response. An example is shown on
page 150, Figure 4, in Koenker and Hallock's (2001) Quantile Regression
article in the Journal of Economic Perspectives, 15(4), 143-156. The figure
also has 90% pointwise confidence bands (their example is based on 19
regression runs, going from the .05 to the .95 quantile).
>
> Does anyone know how to do these graphs? Thanks, Jose Pagan.
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