XTPQCCE: Stata module providing panel quantile CCE mean-group estimators (QCCEMG & CCEMG-CSQR)

Roudane, Merwan

XTPQCCE: Stata module providing panel quantile CCE mean-group estimators (QCCEMG & CCEMG-CSQR)

Statistical Software Components from Boston College Department of Economics

Abstract: xtpqcce estimates heterogeneous panel quantile regression models with unobserved common factors (interactive fixed effects) and cross-sectional dependence, using the Common Correlated Effects (CCE) approach of Pesaran (2006): each unit's quantile regression is augmented with cross-sectional averages of the dependent variable and regressors (and their lags) to proxy the latent factors, and the unit-level slopes are averaged into a mean-group estimator reported across quantiles.

Language: Stata
Requires: Stata version 15.1
Keywords: panel data; quantile estimation (search for similar items in EconPapers)
Date: 2026-06-21
Note: This module should be installed from within Stata by typing "ssc install xtpqcce". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s459762

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