Hello,

I am trying to understand how to interpret the p values I get after using sqreg versus qreg. I am running quantile regressions looking at the dependent variable of cost, and my independent variable is a neighborhood deprivation score. I am trying to understand whether or not different levels of my neighborhood variable are significantly associated with total cost at various quantiles, and also whether the affects of the neighborhood on cost change across quantiles. I am using sqreg and qreg to answer this.

Where I am getting confused is in interpreting the pvalues when I run sqreg versus qreg, since at various quantiles, my neighborhood is significant with qreg, but not sqreg, or vice versa. For example, at the .3 quantile, I am getting significant p values for my neighborhood index score at the .3 quantile when I run sqreg (.3 .4 .5 .6 .7), but insignificant p values for the same variable when i run qreg at .3 . I understand that sqreg uses bootstap errors, and the coefficients are of course the same. I just do not understand how to properly interpret the significance of my variable modeled with my outcome when the two methods produce different pvalues. Any help explaining how to interpret the p values of qreg versus sqreg would be very helpful!

Best,
Melissa