I want a graph that shows confidence interval from OLS and confidence interval from unconditional quantile regression in the same graph. I managed to generate the graph but it is from conditional quantile regression. I need a graph that is from unconditional quantile regression. My STATA command for conditional quantile regression is following
quietly qreg lnSalesPrice Livingarea Lotarea TotalBedrooms Bath Age Cond_EX Cond_GD Cond_AV Cond_FR Year_2016 Year_2017 Year_2018 Year_2019 Year_2020 Order_GA PostOrder_GA if MSAFIPS==12060
grqreg, cons ci ols olsci
The above command generated the attached graph. I need same kind of graph but from unconditional quantile regression. Any suggestion would be highly appreciated.
I suppose you could do it but you are essentially comparing means.and medians so what would that tell you. Best wishes David Booth
David Eugene Booth, Thank you very much for your valuable comment. If I try to explain the differential effects of a variable across different quantiles, don't you think it makes sense? I am not sure if my approach is right but, I am trying to demonstrate from the plot that the effects of a variable has more or less effects on lower quantiles compared to higher quantiles.
Well, maybe I can ignore the OLS estimate, but if I plot coefficients from Unconditional Quantile Regression, will it be helpful for the explanation of differential effects across quantiles?
You may use qreg and qregplot, also try using Excel to show both plots simultaneously to compare. See our paper too.
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