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Re: st: qreg standard errors underlying formula
From
Stas Kolenikov <[email protected]>
To
[email protected]
Subject
Re: st: qreg standard errors underlying formula
Date
Wed, 1 Dec 2010 20:58:37 -0500
Doesn't the manual describe this?
On Wed, Dec 1, 2010 at 6:31 PM, David M Kaplan <[email protected]> wrote:
> Hi all,
> I am wondering, does anybody know how Stata 11 calculates standard
> errors for qreg?
> The best information I currently have is footnote 6 from Koenker and
> Hallock (2000), on page 16 of
> http://www.econ.uiuc.edu/~roger/research/intro/rq.pdf ; which suggests
> that Stata uses an approach based on Siddiqui (1960) with m=n^{1/2}.
> I ran some simulations that approximately support this (they support
> the rate of m, at least), but any information more specific, or
> different, than that would be greatly appreciated!
> Dave
>
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--
Stas Kolenikov, also found at http://stas.kolenikov.name
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