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Re: st: Quantile Regression with FE
From
Jay Verkuilen <[email protected]>
To
"[email protected]" <[email protected]>
Subject
Re: st: Quantile Regression with FE
Date
Mon, 18 Feb 2013 10:02:57 -0500
On Sun, Feb 17, 2013 at 1:52 PM, Swanquist, Quinn Thomas <[email protected]> wrote:
> It seems the variable limit for IC that won't allow me to create the necessary binary variables for i.FEvar.
Yes, IC has a variable limit.
> Is there a more efficient way to estimate this similar to -xtreg-? Also, is there a way to remove the coefficients on i.FEvar similar to -areg-?
The relevant projection in L2 involves sweeping out the group means and then modeling the individual level residuals. Because this is an orthogonal projector it has certain desirable properties that make FE work the way its advertised. Switching to group medians would be the L1 analog but what are its properties? I'm not sure.
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