I'm playing around with gretl's quantile regression stuff (for the first
time AFAIR). Inevitably some questions are coming up:
- Since 'quantreg' is a generalization of 'lad', it's odd that the
latter doesn't have the --robust option, while the former does. Of
course I understand why, historically, but perhaps 'lad' should be
transformed into an alias for 'quantreg 0.5'? Or at least 'lad ...
--robust' into 'quantreg 0.5 ... --robust', with a warning message.
Internally, are the algorithms for lad and 'quantreg 0.5' different?
- I get an error about a missing value which is correct, but aren't the
built-in commands supposed to handle (i.e. discard) missings automatically?
- not a question: it feels very fast!
- I can see the OLS error band in the graph here -- but not in the
example in the user manual! (figs 33.1 and 33.2). And BTW, how do I get
these nice graphs as a command/function in a script? (I mean, I know how
to construct those manually, but I mean with a short post-estimation
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