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Re: st: Quantile regression: determine to which quantile an individual belongs
From
Alex Olssen <[email protected]>
To
[email protected]
Subject
Re: st: Quantile regression: determine to which quantile an individual belongs
Date
Thu, 18 Apr 2013 21:20:31 +1000
I also am unclear on what you wish to achieve. You said that you wanted
to know the quantile of each person's residual. I can suggest a way to
calculate this, but I am unsure why you want it.
sysuse auto, clear
reg price length
predict res, res
sort res
gen quantile = round(_n/_N, 0.01)
Best,
Alex
On 18/04/13 9:12 PM, Nick Cox wrote:
I can't see that "the quantile each individual belongs to" is a
well-defined concept.
Clearly you can work out a percentile rank for each response, without
regard to the predictors. Or you can see where individual residuals
lie in the distribution of residuals.
But I don't think that either is what you are seeking.
I am not clear whether you are thinking of a point or an interval, but
that's secondary.
Stripping it down to a minimal example: We have a quantile regression
for weight versus height. I am a data point with a certain weight and
height. What quantile do I belong to? What's your definition?
Nick
[email protected]
On 18 April 2013 11:50, Maria Juul Hansen <[email protected]> wrote:
Dear Alex
Thank you for your comment and reference!
I am aware of the endogeneity problem. However, the purpose is not to
establish causal effects, just to control for the variables of interest.
Do you have any recommendations regarding the problem of identifying the
quantiles each individual belongs to?
Best regards,
Maria
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