GENQREG: Stata module to perform Generalized Quantile Regression

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

Statistical Software Components from Boston College Department of Economics

Abstract: genqreg can be used to fit the generalized quantile regression estimator developed in Powell (2016). The generalized quantile estimator addresses a fundamental problem posed by traditional quantile estimators: inclusion of additional covariates alters the interpretation of the estimated coefficient on the treatment variable. As detailed in Powell (2016), the generalized quantile estimator implemented by genqreg addresses this problem and produces unconditional quantile treatment effects even in the presence of additional control variables. 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 (search for similar items in EconPapers)
Date: 2016-03-19
Note: This module should be installed from within Stata by typing "ssc install genqreg". 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/g/genqreg.sthlp help file (text/plain)

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