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QREGPD: Stata module to perform Quantile Regression for Panel Data

Matthew Baker ()
Authors registered in the RePEc Author Service: Travis A. Smith () and David Powell

Statistical Software Components from Boston College Department of Economics

Abstract: qregpd can be used to fit the quantile regression for panel data (QRPD) estimator developed in Powell (2015). The estimator addresses a fundamental problem posed by alternative fixed-effect quantile estimators: inclusion of individual fixed effects alters the interpretation of the estimated coefficient on the treatment variable. As detailed in Powell(2016), the QRPD estimator is a special case of the generalized quantile estimator implemented by genqreg. Numerical optimization proceeds via a Nelder-Mead algorithm. As estimation and calculation of standard errors can sometimes pose numerical challenges, the user can estimate generalized quantile regressions using Markov Chain Monte Carlo methods or grid-search methods.

Language: Stata
Requires: Stata version 11.2
Keywords: quantile regression; instrumental variables; generalized method of moments; panel data (search for similar items in EconPapers)
Date: 2016-03-19
Note: This module should be installed from within Stata by typing "ssc install qregpd". Windows users should not attempt to download these files with a web browser.
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Handle: RePEc:boc:bocode:s458157