Chapter 12. M-Estimation, Nonlinear Regression, and
Quantile Regression
Examples
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name: SN
log: myReplications\iiexample12.smcl
log type: smcl
opened on: 5 May 2020, 22:51:14
. **********************************************
. * Solomon Negash - Examples
. * Wooldridge (2010). Economic Analysis of Cross-Section and Panel Data. 2nd ed.
. * STATA Program, version 16.1.
. * Chapter 12 - M-Estimation, Nonlinear Regression, and Quantile Regression
. ********************************************
. // Example 12.1 Quantile Regression for Financial Wealth
. bcuse 401ksubs, clear
Contains data from http://fmwww.bc.edu/ec-p/data/wooldridge/401ksubs.dta
obs: 9,275
vars: 11 25 Jul 2002 16:03
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storage display value
variable name type format label variable label
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e401k byte %9.0g =1 if eligble for 401(k)
inc float %9.0g annual income, $1000s
marr byte %9.0g =1 if married
male byte %9.0g =1 if male respondent
age byte %9.0g in years
fsize byte %9.0g family size
nettfa float %9.0g net total fin. assets, $1000
p401k byte %9.0g =1 if participate in 401(k)
pira byte %9.0g =1 if have IRA
incsq float %9.0g inc^2
agesq int %9.0g age^2
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Sorted by:
. keep if fsize==1
(7,258 observations deleted)
. eststo OLSr: qui reg nettfa inc age agesq e401k, r
. eststo q10iid: qui qreg nettfa inc age agesq e401k, quantile(.10) vce(iid, res)
. eststo q25iid: qui qreg nettfa inc age agesq e401k, quantile(.25) vce(iid, ker(bi))
. eststo LADiid: qui qreg nettfa inc age agesq e401k, vce(iid, ker(epan2))
. eststo q75iid: qui qreg nettfa inc age agesq e401k, quantile(.75) vce(iid, ker(bi))
. eststo q90iid: qui qreg nettfa inc age agesq e401k, quantile(.90) vce(iid, ker(bi))
. estout OLSr q10iid q25iid LADiid q75iid q90iid, cells(b(nostar fmt(4)) se(par fmt(4))) ///
stats( N, fmt(%9.0g) labels(N)) ti("Table 12.1 Mean and Quantile Regression for Net Total Financial Wealth")
Table 12.1 Mean and Quantile Regression for Net Total Financial Wealth
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OLSr q10iid q25iid LADiid q75iid q90iid
b/se b/se b/se b/se b/se b/se
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inc 0.7826 -0.0179 0.0713 0.3239 0.7977 1.2911
(0.1041) (0.0174) (0.0076) (0.0117) (0.0227) (0.0402)
age -1.5677 -0.0663 0.0336 -0.2444 -1.3856 -3.5787
(1.0758) (0.2177) (0.0949) (0.1467) (0.2837) (0.5023)
agesq 0.0284 0.0024 0.0004 0.0048 0.0242 0.0605
(0.0138) (0.0026) (0.0011) (0.0017) (0.0033) (0.0059)
e401k 6.8366 0.9494 1.2810 2.5977 4.4600 6.0015
(2.1733) (0.6029) (0.2628) (0.4064) (0.7856) (1.3911)
_cons 2.5336 -5.2280 -4.3728 -3.5728 7.5390 37.2684
(19.2613) (4.3255) (1.8857) (2.9156) (5.6366) (9.9804)
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N 2017 2017 2017 2017 2017 2017
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. eststo clear
. log close
name: SN
log: myReplications\iiexample12.smcl
log type: smcl
opened on: 5 May 2020, 22:51:14
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