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st: Reconciling Quantile Regression Results
From
Robert B Williams <[email protected]>
To
[email protected]
Subject
st: Reconciling Quantile Regression Results
Date
Wed, 5 Feb 2014 14:28:02 -0500
Dear Statalist
I have a curious problem. I am using quantile regression to estimate
the betas and standard errors of a data set with five implicates for
each household. Using the same do file and data file ( both on a thumb
drive) I get different results on two different computers, home and
office. The estimates for the beta cofficients for both are
essentially the same while the standard errors are wildly different.
(I have attached the results from each computer below using the same
do file.) Obviously, I have tried to control for everything, but have
found nothing to answer the discrepancy. I have located the
discrepancy to the following step within the longer do file.
statsby _se if (age<66), by (imp) : qreg networthK ZAgeCl1 ZAgeCl2
ZAgeCl3 ZAgeCl4 ZWhite ZKids ZNormalYK ZDidSave ZCreditGood
ZLegacyImp ZLRPlanHor ZLifeRemain ZLatePay ZUnemployHouse ZBankruptcy
ZHomeOwner hprim_mort ZHasOthReal ZHasStocks ZHasBus ZRiskTaker
ZHasEducDebt ZRecInherit ZExpInheritValK ZFinLucky, quantile (.90)
However, the same command generates similar (virtually identical)
betas and different standard errors.
Below are the results from one computer and then another.
Office Results:
varname beta sigma tstat signf
------------------------------
-------------------------------
1. _ZAgeCl1 -49.26508 13.56417 -3.632001 ***
2. _ZAgeCl2 -59.56253 11.21504 -5.310952 ***
3. _ZAgeCl3 -66.35434 10.08387 -6.580249 ***
4. _ZAgeCl4 -53.12152 10.45471 -5.081109 ***
5. _ZWhite -10.01998 5.160771 -1.941567 *
-------------------------------------------------------------
6. _ZKids -2.201806 2.071385 -1.062963
7. _ZNormalYK 23.00146 .7403392 31.06881 ***
8. _ZDidSave -13.60232 5.286685 -2.57294 **
9. _ZCreditGood 4.081276 5.569656 .7327698
10. _ZLegacyImp 5.381646 4.49124 1.198254
-------------------------------------------------------------
11. _ZLRPlanHor -9.36632 5.308161 -1.764513 *
12. _ZLifeRemain .1218808 .1869905 .6518021
13. _ZLatePay 4.8959 10.39511 .4709811
14. _ZUnemployHouse 7.037433 6.363559 1.105896
15. _ZBankruptcy 6.262784 6.837511 .9159451
-------------------------------------------------------------
16. _ZHomeOwner 23.97475 14.21518 1.686559 *
17. _hprim_mort -69.95344 14.28528 -4.896891 ***
18. _ZHasOthReal 81.05359 38.13787 2.125278 **
19. _ZHasStocks 4.804673 7.735104 .6211517
20. _ZHasBus 396.266 21.40136 18.51593 ***
-------------------------------------------------------------
21. _ZRiskTaker 9.442237 6.313608 1.495537
22. _ZHasEducDebt -16.83249 6.137966 -2.742357 ***
23. _ZRecInherit .5936526 6.310728 .0940704
24. _ZExpInheritValK 1.586981 .0537434 29.52886 ***
25. _ZFinLucky .2072812 5.082915 .04078
-------------------------------------------------------------
26. _cons 31.75737 12.20822 2.60131 ***
Home Results
varname beta sigma tstat signf
------------------------------
-------------------------------
1. _ZAgeCl1 -49.26507 286.9954 -.171658
2. _ZAgeCl2 -59.56252 206.6773 -.2881909
3. _ZAgeCl3 -66.35435 169.4279 -.3916376
4. _ZAgeCl4 -53.12151 140.72111 -.377495
5. _ZWhite -10.01998 119.2511 -.040242
-------------------------------------------------------------
6. _ZKids -2.201802 41.99823 -.0524261
7. _ZNormalYK 23.00146 .7515529 30.06524 ***
8. _ZDidSave -13.60232 105.5748 -.1288406
9. _ZCreditGood 4.081271 120.856 .0337697
10. _ZLegacyImp 5.381646 98.09854 .0548596
-------------------------------------------------------------
11. _ZLRPlanHor -9.36616 104.1479 -.0899328
12. _ZLifeRemain .1218808 4.063498 .029994
13. _ZLatePay 4.895901 228.7711 .0214008
14. _ZUnemployHouse 7.037432 143.9856 .048876
15. _ZBankruptcy 6.262784 157.4319 .03978091
-------------------------------------------------------------
16. _ZHomeOwner 23.97475 172.3645 .1390934
17. _hprim_mort -69.95345 136.6182 -.512036
18. _ZHasOthReal 81.05359 127.5272 -.6355788
19. _ZHasStocks 4.804671 120.1264 .0399968
20. _ZHasBus 396.266 122.9045 3.224178 ***
-------------------------------------------------------------
21. _ZRiskTaker 9.442244 112.3682 .0840295
22. _ZHasEducDebt -16.83249 140.7864 -.1195605
23. _ZRecInherit .5936565 119.3811 .0049728
24. _ZExpInheritValK 1.586981 .1220853 12.92275 ***
25. _ZFinLucky .2072808 115.2274 .0017989
-------------------------------------------------------------
26. _cons 31.75737 223.852
Any ideas? I am perplexed.
Bob
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