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Re: st: equality across quantile regressions WITHOUT sqreg
From
Scott Merryman <[email protected]>
To
[email protected]
Subject
Re: st: equality across quantile regressions WITHOUT sqreg
Date
Mon, 27 Sep 2010 09:58:19 -0500
On Mon, Sep 27, 2010 at 8:49 AM, Maarten buis <[email protected]> wrote:
> --- 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.
Inaddition, you might the following article of interest:
Wolfe, R and Hanley, J (2002), "If we're so different, why do we keep
overlapping? When 1 plus 1 doesn't make 2", Canadian Medical
Association Journal, 166: 65-66.
Avaliable at
http://www.cmaj.ca/cgi/reprint/166/1/65
Scott
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