Re: st: Quantile regression: determine to which quantile an individual belongs

[Alex Olssen <alex.olssen@gmail.com>]

Dear Maria,

You should carefully consider whether or not you want to include sector 
and industry in your regression. In particular, I suggest you consult 
Section 3.2.3 Bad Controls in Angrist and Pishke's mostly harmless 
econometrics.

The problem is that job sector and industry may be endogenous to gender.

If you want your regression to tell you about the causal effect of being 
female on wages, then you are implicitly relying on a selection on 
observables story. A lot of people are going to find this hard to buy. 
However, including sector and industry does not make the selection on 
observables assumption more likely to hold. Furthermore, it complicates 
the interpretation of the coefficients; they probably don't mean what 
you want them to mean.

Best,
Alex

On 17/04/13 9:09 PM, Maria Juul Hansen wrote:
> Dear list members
>
> I am using –sqreg- in Stata 12.0.
> I run a quantile regression on a cross-section data set containing
> individuals from the Danish labor market aged 40-55.
> My analysis should try to detect whether there is an unexplained gender wage
> gap in my sample (a negative coefficient on my gender dummy). My
> LHS-variable is log(wage).
> I divide my control variables into 2 groups (see below) and start by
> controlling for group 1. After having run my regression on the variables
> from group 1, I add group 2.
> Group 1: experience, tenure and education.
> Group 2: sector, industry, geography and other variables specific to the
> job.
>
> After having controlled for group 2 variables, the gender wage gap seems to
> increase at the median compared to the gap estimated in the model that only
> includes group 1 variables.
> Therefore I would like to find out why this is so by investigating whether
> women (at the median) primarily work in that industry, geographic region
> etc. that pays the highest wages.
> In order to do this, I have considered obtaining the residuals for each
> individual. Then I would find the quantiles of the residuals. By comparing
> the residual of each individual with the quantiles just defined, I determine
> which quantile each individual belongs to.
> In that way I hope to be able to say what characterizes the women belonging
> to the median.
>
> Do any of you know whether the residuals can be used in this way for
> defining the quantile each individual belongs to? References to work dealing
> with this issue would be highly appreciated.
>
> I thank you in advance!
>
> Best regards,
> Maria
>
>
>
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