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  • qreg vs. sqreg

    Hi,

    I need to estimate a specification for different quantiles. What is the theoretical difference between running different regressions for each quantile with qreg or one with sqreg?

    Thanks!

  • #2
    In short, the qreg performs quantile regression while sqreg performs simultaneous-quantile regression. The simultaneous-quantile regression "produces quantile regression estimates for several values of quantiles simultaneously, allowing for differences between coefficients for different quantiles to be tested"(1). Please see the following example (borrowed from here):
    Code:
    webuse auto
    qreg price weight length foreign, quantile(.25)
    qreg price weight length foreign, quantile(.50)
    qreg price weight length foreign, quantile(.75)
    sqreg price weight length foreign, q(.25 .5 .75)
    * You can now test whether the effect of weight is the same at the 25th and 75th percentiles:
    test[q25]weight = [q75]weight
    * You can obtain a confidence interval for the difference in the effect of weight at the 25th and 75th percentiles:
     lincom [q75]weight-[q25]weight
    

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    • #3
      So it allows to conduct tests for the coefficients, but, as it seems from the example, the coefficients wouldn't change using one or the other, right?

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      • #4
        Yes, Maria, exactly the same as illustrated by Amin's example.

        Best wishes,

        Joao

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        • #5
          Thanks both!!

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