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: equality across quantile regressions WITHOUT sqreg
From
Maarten buis <[email protected]>
To
[email protected]
Subject
Re: st: equality across quantile regressions WITHOUT sqreg
Date
Mon, 27 Sep 2010 13:49:25 +0000 (GMT)
--- On Mon, 27/9/10, Lim, Raymond wrote:
> Can I test equality of coefficients across different
> quantile regressions (.25 .50 .75) manually after running
> qreg? If so, would the calculation be the usual "coefficient
> +or- 1.96*SE" and see whether the 95% confidence intervals
> overlap?
Unfortunately no, that method never works. Basically you are
missing the covariance of the joint sampling distribution.
Hope this helps,
Maarten
--------------------------
Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen
Germany
http://www.maartenbuis.nl
--------------------------
*
* 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/