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Re: st: qreg (median regression)
From
Yuval Arbel <[email protected]>
To
statalist <[email protected]>
Subject
Re: st: qreg (median regression)
Date
Tue, 9 Apr 2013 21:57:15 -0700
You can try the following textbook:
William H. Greene: Econometric Analysis (Seventh Edition).
On page 242-246 Greene discusses the issue of median regression - and
provides a comparison between the OLS and LAD estimators taken from a
classical paper of Zelner and Revankar (1970).
On page 247-250 he discusses quantile regression model and provides
outcomes from his own research (Greene (1992, 2007))
On Sun, Apr 7, 2013 at 1:55 PM, John Antonakis <[email protected]> wrote:
> Hi:
>
> I have been playing around with Stata's qreg, and have been reading up on
> when qreg is useful. For the case of median regression, I can't find much
> literature on it, particularly about the small sample properties of the
> estimator. Does anyone know of any simulation studies that compares the
> efficiency of the median-regression (LAD) estimator to that of the OLS
> estimator in small samples (and ideally with data having outliers)?
>
> Thanks.
> J.
>
> --
> __________________________________________
>
> John Antonakis
> Professor of Organizational Behavior
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--
Dr. Yuval Arbel
School of Business
Carmel Academic Center
4 Shaar Palmer Street,
Haifa 33031, Israel
e-mail1: [email protected]
e-mail2: [email protected]
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