Fixed effects in unconditional quantile regression

Nicolai T. Borgen ()
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Nicolai T. Borgen: University of Oslo

Stata Journal, 2016, vol. 16, issue 2, 403-415

Abstract: Unconditional quantile regression has quickly become popular after being introduced by Firpo, Fortin, and Lemieux (2009, Econometrica 77: 953– 973) and is easily implemented using the user-written command rifreg by the same authors. However, including high-dimensional fixed effects in rifreg is quite burdensome and sometimes even impossible. In this article, I show that when the number of fixed effects is large, the computational speed is massively increased by using xtreg rather than regress to fit the unconditional quantile regression models. I also introduce the xtrifreg command, which should be considered a supplement to rifreg. The xtrifreg command has many of the same features as rifreg but can be used to include a large number of fixed effects, to estimate cluster–robust standard errors, and to estimate cluster–bootstrapped standard errors.

Keywords: xtrifreg; unconditional quantile regression; fixed effects (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (71)

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