You might find these two posts helpful:
http://www.stata.com/statalist/archive/2003-02/msg00813.html
http://www.stata.com/statalist/archive/2003-02/msg00869.html
Scott
> -----Original Message-----
> From: [email protected] [mailto:owner-
> [email protected]] On Behalf Of Jeannette Wicks-Lim
> Sent: Thursday, March 10, 2005 10:10 AM
> To: [email protected]
> Subject: st: Too small standard errors with QREG?
>
> Hi,
> I've estimated a quantile regression (QREG) which requires an iterative
> process to minimize the sum of the absolute residuals. Something strange
> happens with my results: the standard errors are extremly small (note that
> the CI are points rather than ranges...). Does anyone have any thoughts
> about why this might be happening? My model does have in it many variables
> (lots of interaction terms) but I don't hink that should be a problem
> given
> the large sample size.
>
> Thanks in advance for any help!
>
> Below I've pasted some of the output:
>
> .9 Quantile regression Number of obs =
> 422027
> Raw sum of deviations 66889.66 (about 2.5118887)
> Min sum of deviations 64818.5 Pseudo R2 =
> 0.0310
>
> --------------------------------------------------------------------------
> ----
> lnrwage | Coef. Std. Err. t P>|t| [95% Conf.
> Interval]
> -------------+------------------------------------------------------------
> ----
> lnpmin1r | .1971322 1.53e-15 . 0.000 .1971322
> .1971322
> _Iyear_78 | -.004403 3.95e-16 .
> .000 -.004403 -.004403
> _Iyear_79 | .0034332 4.48e-16 . 0.000 .0034332
> .0034332
> _Iyear_80 | -.0193586 5.30e-16 .
> 0.000 -.0193586 -.0193586
> _Iyear_81 | .0143617 3.49e-16 . 0.000 .0143617
> .0143617
> _Iyear_83 | .0150885 3.69e-16 . 0.000 .0150885
> .0150885
> _Iyear_84 | .0203746 4.08e-16 . 0.000 .0203746
> .0203746
> _Iyear_85 | .0300213 4.44e-16 . 0.000 .0300213
> .0300213
> _Iyear_86 | .0464875 4.63e-16 . 0.000 .0464875
> .0464875
> _Iyear_87 | .0385665 5.01e-16 . 0.000 .0385665
> .0385665
> _Iyear_88 | .0299613 5.33e-16 . 0.000 .0299613
> .0299613
> _Iyear_89 | .0426883 5.65e-16 . 0.000 .0426883
> .0426883
> _Iyear_90 | .0202615 5.32e-16 . 0.000 .0202615
> .0202615
> _Iyear_91 | .000379 4.67e-16 . 0.000 .000379
> .000379
> _Iyear_92 | .000173 4.68e-16 . 0.000 .000173
> .000173
> _Iyear_93 | .00088 5.00e-16 . 0.000 .00088
> .00088
>
>
> Jeannette Wicks-Lim
> Department of Economics
> University of Massachusetts, Amherst
> (413) 577-0820
>
> *
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