Dear Carlo,
I do not know Koenker's (2005) book. However, Hao and Naiman (2007,
p.44ff.) derive analytic standard errors both for the iid and the
non-idd case. Thus, at least in theory the problem is already solved.
Kind Regards,
Jochen
-----Original Message-----
Date: Wed, 03 Dec 2008 14:08:47 +0100
Subject: st: RE: R: analytic standard errors in quantile regression
From: "Martin Weiss" <martin.weiss1@gmx.de>
To: <statalist@hsphsun2.harvard.edu>
Line for the server...
There is only one entry in the subject index for heteroscedasticity, and
a
cursory look at it does not bode well for Jochen`s problem...
HTH
Martin
-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Carlo Lazzaro
Sent: Wednesday, December 03, 2008 2:03 PM
To: statalist@hsphsun2.harvard.edu
Cc: Jochen_Spaeth@t-online.de
Subject: st: R: analytic standard errors in quantile regression
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: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] Per conto di
Jochen_Spaeth@t-online.de
Inviato: mercoledì 3 dicembre 2008 11.16
A: statalist@hsphsun2.harvard.edu
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
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