QRPROCESS: Stata module for quantile regression: fast algorithm, pointwise and uniform inference

Victor Chernozhukov, Ivan Fernandez-Val () and Blaise Melly ()

Statistical Software Components from Boston College Department of Economics

Abstract: This package offers fast estimation and inference procedures for the linear quantile regression model. First, qrprocess implements new algorithms that are much quicker than the built-in Stata commands, especially when a large number of quantile regressions or bootstrap replications must be estimated. Second, the commands provide analytical estimates of the variance-covariance matrix of the coefficients for several quantile regressions allowing for weights, clustering and stratification. Third, in addition to traditional pointwise confidence intervals, this command also provides functional confidence bands and tests of functional hypotheses. Fourth, predict called after qrprocess can generate monotone estimates of the conditional quantile and distribution functions obtained by rearrangement. Fifth, the new command plotprocess conveniently plots the estimated coefficients with their confidence intervals and uniform bands.

Language: Stata
Requires: Stata version 9.2 and moremata from SSC (q.v.)
Keywords: quantile regression; confidence bands; conditional quantiles (search for similar items in EconPapers)
Date: 2020-04-14
Note: This module should be installed from within Stata by typing "ssc install qrprocess". 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/q/qrprocess.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/q/qrprocess.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/q/qrprocess_p.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/q/qrprocess_postestimation.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/p/plotprocess.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/p/plotprocess.sthlp help file (text/plain)

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