[R] Comparing rqpd() and rq()

sseemann steffen.seemann at uni-konstanz.de
Tue Sep 18 14:04:02 CEST 2012


Dear R users,

I am trying to estimate a panel data model using rqpd(). I also estimated
the same model using rq() and dummy variables for the groups. The
coefficient estimates differ substantially between the two approaches
(rqpd() produces substantially larger coefficients). 
Should the two approaches deliver similar estimates (as for plm() and lm()
plus dummies)? I.e. does this indicate a misspecification in one of the
models?

Best regards,
sseemann



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