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04-24-2018 08:55 AM

I am trying to test for the equality of coefficients in the quantile regression setting, but keep getting the following warning:

WARNING: The test for equal coefficients across quantiles is ignored because the joint covariance is not computed.

The sample size is 1745, with 2 independent indicator variables, 8 continuous variables, and 2 class variables. The specification is as follows:

proc quantreg ci=rank algorithm=interior(tolerance=1.e-4)

data=sample;

class year ind_code;

model dep = dummy1 dummy2 cont1--cont8 year ind_code /

quantile= 0.1 to 0.9 by 0.1;

test dummy1 /QINTERACT;

test dummy2 /QINTERACT;

run;

What could be the reasons for this? I tried alternative ci= specifications and lower number of quantiles but nothing seems to help.

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Posted in reply to milda

04-24-2018 10:17 AM

Your code works perfectly on simulated data. There must be something peculiar about your particular data, such as an abundance of missing values, dependencies in the independent variables, or some other degeneracy.

```
data sample;
do i = 1 to 100;
x1 = rand("Normal");
x2 = rand("Normal");
c = rand("Bernoulli", 0.3);
dummy1 = rand("Bernoulli", 0.5);
dummy2 = rand("Bernoulli", 0.5);
dep = 3 + x1 + x1*x2/4 + dummy1 - dummy2 + dummy1*x1 + c + c*x2;
output;
end;
run;
proc quantreg ci=rank algorithm=interior(tolerance=1.e-4) data=sample;
class c;
model dep = dummy1 dummy2 x1-x2 c /
quantile= 0.1 to 0.9 by 0.1;
test dummy1 /QINTERACT;
test dummy2 /QINTERACT;
run;
```