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RE: st: RE: binary quantile regression
Binary regression quantiles is a semiparametric discrete choice estimator
that imposes fewer asumpotion on the underlying data than other
semiparametric estimators (i.e Klein and Spady or Ichimura). The cost is a
slower rate of convergence. Basically you can view Manski's maximum score
estimator as a median estimator, and Kordas (2004) outlines the benefits of
using Manski's (1975, 1985) binary regression quantiles to provide
consistent estimates of the conditional probability of some outcome given an
individual's covariates at different points of the distribution. While
Limdep has a algorithm to do maximum score it appears to perform fairly
poorly. In fact, if you plug the solution in the Limdep manual as a starting
value in the algorithm available on Kordas's website (with the same data)
you will find a new solution which does a better job at maximizing the
objective function. In addition the S-Plus code can do other quantiles. The
S-Plus code calls some Fortran subroutines and from my own experience is
fairly easy to use. My hunch is that programming BRQ in Stata would not just
be time consuming but the program would take alot longer to converge on a
solution then the S-Plus code.
Hope this helps,
Steve
From: "Feiveson, Alan H. (JSC-SK311)" <[email protected]>
Reply-To: [email protected]
To: <[email protected]>
Subject: st: RE: binary quantile regression
Date: Tue, 3 Oct 2006 09:44:43 -0500
I wonder if the reason there was no response is that it is not clear
what is meant by "binary quantile regression". If you have a binary
response variable, it only takes on two values and hence does not have
continuous quantiles that can be modeled via regression. Perhaps that is
not what was meant by "binary quantile regresion". Please clarify.
Al Feiveson
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of
[email protected]
Sent: Tuesday, October 03, 2006 7:50 AM
To: [email protected]
Subject: st: binary quantile regression
Below is a question posted Jan. 25, 2004 for which I can not find a
response. Does anyone have any information on binary quantile regression
in Stata? Thank you.
Paul Zorn.
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
I was wondering if any of you are doing work using binary quantile
regression in Stata. Here are two links to papers with examples on
credit scoring and labor force participation:
http://www.econ.upenn.edu/~kordas/research/creditscore.pdf
http://www.econ.upenn.edu/~kordas/research/sbrq.pdf
The author provides the code in S-Plus but I could not find anything on
this model in Stata.
Thanks, Jose Pagan.
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