Dear Jochen,
some threads ago, the following textbook was quoted on the list:
Roger Koenker. Quantile Regression. Cambridge University Press, 2005
(Paperback).
Unfortunately, since I have ordered some days ago, I do not know whether or
not its contents tackle your problem.
Kind Regards,
Carlo
-----Messaggio originale-----
Da: [email protected]
[mailto:[email protected]] Per conto di
[email protected]
Inviato: mercoledì 3 dicembre 2008 11.16
A: [email protected]
Oggetto: st: analytic standard errors in quantile regression
Dear all,
I have a large panel data set (N >> T ) and I want to run quantile
regressions with heteroskedasticity/autocorrelation-robust standard
errors. However, there is no such option that could be passed to the
-qreg- command in STATA and because my data set is huge bootstrap
standard errors do not seem a viable alternative. Is anyone out there
aware of a program that defines such a -robust- option for the -qreg
command- or something similar?
Any comment is highly appreciated!
Sincerely,
Jochen
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
