Hello Martin,
thank you very much for your comment. However, STATA's -clad- command is
not precisely what I am looking for since it relies on bootstrap
standard errors, too, which I could have performed with -bsqreg-, too.
Rather than that, I am looking for analytic standard errors for the
heteroskedasticity case.
Jochen
-----Original Message-----
Date: Wed, 03 Dec 2008 11:20:26 +0100
Subject: st: RE: analytic standard errors in quantile regression
From: "Martin Weiss" <[email protected]>
To: <[email protected]>
Line for the server...
***********
-findit clad-
***********
HTH
Martin
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of
[email protected]
Sent: Wednesday, December 03, 2008 11:16 AM
To: [email protected]
Subject: 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
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