Quantile regression: Basics and recent advances
João Santos Silva ()
London Stata Conference 2019 from Stata Users Group
This presentation starts with a general introduction to quantile regression (see qreg and related commands) and then addresses two topics from recent research, specifically quantile regression with time-invariant individual ("fixed") effects, and structural quantile function estimation. After summarizing the main results in these areas, I present the approach to these problems proposed by Machado and Santos Silva (Quantiles via moments, Journal of Econometrics 2019, forthcoming), and illustrate the use of the corresponding Stata commands xtqreg and ivqreg2 (downloadable from SSC).
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Persistent link: https://EconPapers.repec.org/RePEc:boc:usug19:27
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