MMQREG: Stata module to estimate quantile regressions via Method of Moments

Fernando Rios-Avila ()

Statistical Software Components from Boston College Department of Economics

Abstract: mmqreg estimates quantile regressions using the method of moments as proposed by Machado and Santos Silva (J. Econometrics, 2019). In contrast with xtqreg, this command allows for the estimation of quantile regressions without fixed effects, as well as when multiple fixed effects are used.

Language: Stata
Requires: Stata version 13 and hdfe, ftools from SSC (q.v.)
Keywords: qreq; xtqreg; quantile regression; method of moments; predict (search for similar items in EconPapers)
Date: 2020-04-01, Revised 2022-06-21
Note: This module should be installed from within Stata by typing "ssc install mmqreg". 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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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/m/mmqreg.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/m/mmqreg.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/m/mmqreg_example.do sample file (text/plain)

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