Quantile-Quantile plots

[Enakshi Panda]

Hi,

I have been given a particular dataset which has the beta values and the corresponding z-scores associated with it from a regression. I have to produce a Quantile-Quantile (QQ) plot of the empirical CDF of p-values against the CDF expected if the null hypothesis were true that is if beta = 0 for all the observations?

How should I go about with this?

[Nick Cox]

A quantile-quantile plot is not a plot of one empirical CDF against another. That's a P-P plot. Perhaps you should get some clarification there.

[Maarten Buis]

You could look at simpplot from SSC (type in Stata ssc install simpplot). It plots such a P-P plot, but rotates it such that the upward sloping diagonal is horizontal, i.e. it focuses on the deviations from the expectation.