STATAqreg命令的语法说明
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qreg -- Quantile (including median) regression
ROR Version
Scanned & Corrected by clxia
Syntax
qreg depvar [indepvars] [weight] [if exp] [in range] [, level(#) quantile(#)
nolog iterate(#) wlsiter(#) trace
igreg depvar [indepvars] [if exp] [in range] [, level(#) quantiles(# #) reps (#) nolog] sqreg depvar [indepvars] [if exp] [in range] [, level(#) quantiles(# [# [#... ]] )
reps(#) nolog]
bsqreg depvar [indepvars] [if exp] [in range] [, level(#) quantile(#) reps(#) ]
_qreg [depvar indepvars] [weight] [if exp] [in range] [, level(#) quantile(#)
iterate(#) trace accuracy(#) ]
by...: may be used with qreg, iqreg, sqreg, and bsqreg: see [R] by.
qreg and _qreg allow aweights and fweights; see [U] 14.1.6 weight.
qreg, iqreg, sqreg, and bsqreg share the features of all estimation commands; see [U]23 Estimation and post-estimation commands.
qreg may be used with sw to perform stepwise estimation, see [R] sw.
Syntax for predict
For qreg, iqreg, and bsqreg
predict [type] newvarname [if exp] [in range] [,xb | stdp | residuals]
For sqreg
Predict [type] newvarname [if exp] [in range] [, equation(eqno[,eqno])
{ xb | stdp | stddp residuals } ]
These statistics are available both in and out of sample; type predict... if e(sample)... if wanted only for the estimation sample.
Description
qreg estimates quantile (including median) regression models, also known as least-absolute value models (LA V or MAID) and minimum Ll-norm models.
iqreg estimates interquantile range regressions, regressions of the difference in quantiles. The estimated variance-covariance matrix of the estimators (VCE) is obtained via bootstrapping. Iqreg has a limit of 336 indepvars.
sqreg estimates simultaneous-quantile regression. it produces the same coefficients as qreg for each quantile. Reported standard errors will be similar, the difference being that sqreg obtains an estimate of the VCE via bootstrapping and the VCE includes between-quantiles blocks. Thus, one can test and construct confidence intervals comparing coefficients describing different quantiles. Sqreg has a limit of 336/q indepvars where q is the number of quantiles specified.
bsqreg is the same as sqreg with one quantile. sqreg is faster than bsqreg. However, bsqreg is not limited to 336 coefficients.
_qreg is the internal estimation command for quantile regression. _qreg is not intended to be used directly: interested users should see Methods and Formulas below.
Options
level(#) specifies the confidence level, in percent, for confidence intervals. The default is level (95) or as set by set level: see [U] 23.5 Specifying the width
of confidence intervals.
quantile(#) (for qreg, bsqreg, and _qreg) specifies the quantile to be estimated and should be a number between 0 and 1, exclusive. For qreg and bsqreg
numbers larger than 1 are interpreted as a percent. The default value of 0.5
corresponds to the median.
quantiles(# #) (for iqreg) specifies the quantiles to be compared. The first number must be less than the second and both should be between 0 and 1, exclusive.
Numbers larger than l are interpreted as a percent. Not specifying this option
is equivalent to specifying quantiles(.25.75), meaning the interquantile
range.
quantiles(# [# [#...]])(for sqreg) specifies the quantiles to be estimated and should contain numbers between 0 and 1, exclusive. Numbers larger than 1 are
interpreted as a percent. The default value of 0.5 corresponds to the median.