MCMCCQREG: Stata module to perform simulation assisted estimation of censored quantile regression using adaptive Markov chain Monte Carlo

Matthew Baker

Statistical Software Components from Boston College Department of Economics

Abstract: mcmccqreg can be used to "fit" Powell's (1984, 1986) censored quantile regression model(s) using adaptive Markov chain Monte Carlo simulation. More precisely, mcmccqreg produces draws from the parameter distribution implied by the objective function, and then presents summary statistics describing the results of the draws. Detailed analysis of the draws is left to the user. Implementation details are discussed in Baker (2013), and the general theory in Chernozhukov and Hong (2003).

Language: Stata
Requires: Stata version 11.2, the amcmc package from SSC and Jann's moremata package from SSC (q.v.)
Keywords: Adaptive Markov chain Monte Carlo; censored quantile regression; median estimator (search for similar items in EconPapers)
Date: 2013-06-01
Note: This module should be installed from within Stata by typing "ssc install mcmccqreg". 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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http://fmwww.bc.edu/repec/bocode/m/mcmccqreg.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/m/mcmccqreg.sthlp help file (text/plain)

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