I want to estimate a lad regression on a large dataset with around 35,000 observations.

The lad command crashes due to the large size of the dataset, however I have found the quantreg seems to use a different algorithm and looks more promising.

It works most of the time (matches results from Matlab and does it very quickly).

However, I have found it to be quite unstable and in some specifications it will give me a ‘data error’. Unfortunately I can’t work out how to dig into the source of the error. For example, quantreg will work with one of my dummy variables in, but doesn’t work without it!

Interestingly, moving the ‘tau’ coefficient from 0.5 to 0.500000001 makes the code work?!?!

Any explanation for this strange behavior and how I could robustify my code?

p.s ols works fine on the dataset