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Re: st: odd grqreg behavior
From
Scott Merryman <[email protected]>
To
[email protected]
Subject
Re: st: odd grqreg behavior
Date
Tue, 15 Mar 2011 11:40:10 -0500
This problem can be replicated with
sysuse auto,clear
gen w2= weight/10000
xi i.rep
sqreg mpg w2 _I*,quantile(.1 .2 .3 .4 .5 .6 .7 .8 .9) reps(10) level(95)
grqreg w2, ci ols save(grtest) level(95)
use grtest,clear
l qtile w2*
The problem appears to be limitation in the wordcount() function that
is limiting the number variables -grqreg- uses. In the above example
the results in grtest.dta are for
sqreg mpg w2 _Irep78_2, q(.1 .2 .3 .4 .5 .6 .7 .8 .9)
The best thing would be to contact the author, Joao Pedro Azevedo,
but in the mean time if you alter lines 39/40 of _bsqregtrace.ado and
lines 102/103 of grqreg.ado from
loc tmp0 = wordcount("`e(eqnames)'")
loc tmp1 = wordcount("`rhs'")
to
loc tmp0 : word count `e(eqnames)'
loc tmp1 : word count `rhs'
this should bypass the wordcount() limitation.
Scott
On Sun, Mar 13, 2011 at 4:42 PM, Jeffrey T Grogger
<[email protected]> wrote:
> Dear all:
> I am trying to estimate quantile treatment effects using sqreg, then plot them using grqreg. To wit:
>
> set seed 1234567
> sqreg allbut_06 treatment _Icl*,quantile(.1 .2 .3 .4 .5 .6 .7 .8 .9) reps(10) level(95)
> grqreg treatment, ci ols save(grtest) level(95)
>
> sqreg produces estimates, and grqreg plots something, but grqreg does not produce the estimates computed by sqreg. The log file is below, edited for clarity. The bottom line is that the numbers that grqreg is plotting (in grtest.dta, at bottom of log) are not the coefficients that sqreg is producing. Any idea what is happening?
> Thanks.
> ---------------------------------------------------------------------------------------------------
> . xi i.clust_match
> i.clust_match _Iclust_mat_1-50 (naturally coded; _Iclust_mat_1 omitted)
>
> . set seed 1234567
>
> . sqreg allbut_06 treatment _Icl*,quantile(.1 .2 .3 .4 .5 .6 .7 .8 .9) reps(10) level(95)
> (fitting base model)
> (bootstrapping ..........)
>
> Simultaneous quantile regression Number of obs = 28048
> bootstrap(10) SEs .10 Pseudo R2 = 0.0691
> .20 Pseudo R2 = 0.0816
> .30 Pseudo R2 = 0.0889
> .40 Pseudo R2 = 0.0949
> .50 Pseudo R2 = 0.0980
> .60 Pseudo R2 = 0.0999
> .70 Pseudo R2 = 0.0996
> .80 Pseudo R2 = 0.0978
> .90 Pseudo R2 = 0.1022
>
> ------------------------------------------------------------------------------
> | Bootstrap
> allbut_06 | Coef. Std. Err. t P>|t| [95% Conf. Interval]
> -------------+----------------------------------------------------------------
> q10 |
> treatment | 185.5 44.24246 4.19 0.000 98.78263 272.2174
> _Iclust_m~_2 | -815.5 205.061 -3.98 0.000 -1217.43 -413.5704
> .
> .
> .
> _Iclust_m~50 | 714.5 311.8173 2.29 0.022 103.3228 1325.677
> _cons | 3560.5 178.9403 19.90 0.000 3209.768 3911.232
> -------------+----------------------------------------------------------------
> q20 |
> treatment | 195 46.32869 4.21 0.000 104.1935 285.8065
> _Iclust_m~_2 | -1458.5 217.0275 -6.72 0.000 -1883.885 -1033.115
> .
> .
> .
> _Iclust_m~50 | 387.5 331.0245 1.17 0.242 -261.3241 1036.324
> _cons | 5167.5 259.136 19.94 0.000 4659.581 5675.419
> -------------+----------------------------------------------------------------
> q30 |
> treatment | 152 48.88524 3.11 0.002 56.18255 247.8175
> _Iclust_m~_2 | -1538 207.7434 -7.40 0.000 -1945.187 -1130.813
> .
> .
> .
> _Iclust_m~50 | 162 415.5631 0.39 0.697 -652.5239 976.5239
> _cons | 6488 192.1978 33.76 0.000 6111.283 6864.717
> -------------+----------------------------------------------------------------
> q40 |
> treatment | 150 54.50545 2.75 0.006 43.16666 256.8333
> _Iclust_m~_2 | -1771 348.4914 -5.08 0.000 -2454.06 -1087.94
> .
> .
> .
> _Iclust_m~50 | -181 321.9381 -0.56 0.574 -812.0144 450.0144
> _cons | 7791 188.2547 41.39 0.000 7422.012 8159.988
> -------------+----------------------------------------------------------------
> q50 |
> treatment | 170 74.49461 2.28 0.022 23.98693 316.0131
> _Iclust_m~_2 | -1535 332.7787 -4.61 0.000 -2187.263 -882.7375
> .
> .
> .
> _Iclust_m~50 | 40 392.3174 0.10 0.919 -728.9611 808.9611
> _cons | 8915 143.1329 62.28 0.000 8634.453 9195.547
> -------------+----------------------------------------------------------------
> q60 |
> treatment | 106 81.76807 1.30 0.195 -54.2694 266.2694
> _Iclust_m~_2 | -1751 366.1833 -4.78 0.000 -2468.737 -1033.263
> .
> .
> .
> _Iclust_m~50 | 156.5 307.9239 0.51 0.611 -447.0458 760.0458
> _cons | 10308.5 309.545 33.30 0.000 9701.777 10915.22
> -------------+----------------------------------------------------------------
> q70 |
> treatment | 130 120.192 1.08 0.279 -105.5822 365.5822
> _Iclust_m~_2 | -2505 412.422 -6.07 0.000 -3313.367 -1696.633
> .
> .
> .
> _Iclust_m~50 | -20 442.8143 -0.05 0.964 -887.9377 847.9377
> _cons | 12345 405.513 30.44 0.000 11550.17 13139.83
> -------------+----------------------------------------------------------------
> q80 |
> treatment | 85 142.7379 0.60 0.552 -194.7733 364.7733
> _Iclust_m~_2 | -2221 354.8877 -6.26 0.000 -2916.597 -1525.403
> .
> .
> .
> _cons | 14371 422.0801 34.05 0.000 13543.7 15198.3
> -------------+----------------------------------------------------------------
> q90 |
> treatment | 70 255.9348 0.27 0.784 -431.6446 571.6446
> _Iclust_m~_2 | -3300 584.2882 -5.65 0.000 -4445.233 -2154.767
> .
> .
> .
> _cons | 18330 448.8874 40.83 0.000 17450.16 19209.84
> ------------------------------------------------------------------------------
>
> . grqreg treatment, ci ols save(grtest) level(95)
> file grtest.dta saved
>
> .
> end of do-file
>
> . use grtest,clear
>
> . list qtile treatment*
>
> +----------------------------------------+
> | qtile treatm~t treatm~i treatm~o |
> |----------------------------------------|
> 1. | .1 318.00 401.56 234.44 |
> 2. | .2 320.00 422.07 217.93 |
> 3. | .3 270.00 401.98 138.02 |
> 4. | .4 304.00 461.43 146.57 |
> 5. | .5 285.00 457.46 112.54 |
> |----------------------------------------|
> 6. | .6 294.00 481.63 106.37 |
> 7. | .7 285.00 586.44 -16.44 |
> 8. | .8 400.00 623.65 176.35 |
> 9. | .9 1004.50 1489.70 519.30 |
> 10. | .05 . . . |
> |----------------------------------------|
> 11. | .15 . . . |
> 12. | .25 . . . |
> 13. | .35 . . . |
> 14. | .45 . . . |
> 15. | .55 . . . |
> |----------------------------------------|
> 16. | .65 . . . |
> 17. | .75 . . . |
> 18. | .85 . . . |
> --Break--
> r(1);
*
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