MMQREG: Stata module to estimate MM-Quantile Regression with Decomposed Split-Panel Jackknife and Visualization

Fernando Rios-Avila () and Merwan Roudane ()
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Merwan Roudane: NA

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. v2.4 adds the jknife option, integrating the MM-QR-JK half-panel jackknife bias correction into mmqreg. In short-T panels with fixed effects, the MM-QR scale function and quantile-location estimators inherit the incidental-parameters bias of within-transformed estimators. The decomposed JK removes the leading-order bias from these two components separately rather than from the final beta(tau).

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 2026-05-17
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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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/mmqregplot.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/m/mmqregplot.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/m/mmqreg_example.do sample do-file (text/plain)

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