STATAqreg命令的语法说明

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.