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st: Quantile regression and weights
From
Jacob Felson <[email protected]>
To
[email protected]
Subject
st: Quantile regression and weights
Date
Fri, 25 Jun 2010 15:05:10 -0400
Hello,
I am wondering whether there is any way to run quantile regression
(qreg) with probability weights. I understand that this cannot be
done directly, but I wondered if a work-around solution was advisable.
(Namely, weighting the data beforehand.) I tried to weight using the
analytical weight feature, bur ran into convergence problems when
trying to estimate a 0.1 quantile regression. My dataset is a subset
of about 600K cases from the 2008 Public Use Microsample (PUMS) from
the US Census. The weight I am trying to use is a probability weight
and has a very large range. What about using frequency weights with
bootstrapped standard errors?
Thank you,
Jacob Felson
Assistant Professor
Department of Sociology
William Paterson University
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