QREGPD: Stata module to perform Quantile Regression for Panel Data
Matthew Baker ()
Authors registered in the RePEc Author Service: Travis A. Smith () and
Statistical Software Components from Boston College Department of Economics
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.
Requires: Stata version 11.2
Keywords: quantile regression; instrumental variables; generalized method of moments; panel data (search for similar items in EconPapers)
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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http://fmwww.bc.edu/repec/bocode/q/qregpd.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/q/qregpd.sthlp help file (text/plain)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s458157
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