Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
Re: st: Quantile regression and weights
From
Austin Nichols <[email protected]>
To
[email protected]
Subject
Re: st: Quantile regression and weights
Date
Fri, 25 Jun 2010 15:48:53 -0400
Jacob Felson <[email protected]> :
Don't pretend you have freq weights when you don't. You can manually
bootstrap by repeatedly resampling and estimating the qreg with
aweights, which works well in practice but takes a long time to run.
See
http://www.stata.com/statalist/archive/2007-09/msg00147.html
http://www.stata.com/statalist/archive/2009-04/msg00271.html
http://www.stata.com/statalist/archive/2009-11/msg00901.html
etc. on qreg,
and e.g.
http://www.stata.com/statalist/archive/2006-12/msg00471.html
on the "manual bootstrap" idea.
On Fri, Jun 25, 2010 at 3:05 PM, Jacob Felson <[email protected]> wrote:
> 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?
*
* 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/