XTQRPLOT: Stata module to compute entity-specific marginal effects from panel quantile regression

Noman Arshed

Statistical Software Components from Boston College Department of Economics

Abstract: xtqrplot estimates panel quantile regression across a user-defined grid of quantile windows and produces entity-specific marginal effect visualisations. For each cross-sectional unit, the command identifies its percentile rank in the distribution of the dependent variable, assigns it to the nearest quantile window, extracts the corresponding coefficient, and presents the result as a colour-coded bar chart or matrix heat map with 95% confidence intervals. The package supports both balanced and unbalanced panels, four effect types (raw coefficient, semi-elasticity, elasticity, basis points), three plot types (cross-section, time-dimension, panel x time heat map), pre-estimation normality diagnostics, and automatic results tables. An optional enhanced heat map is available if heatplot (SSC) is installed.

Language: Stata
Requires: Stata version 14 and xtqreg or qregpd from SSC (q.v.)
Keywords: panel data; quantile regression; marginal effects (search for similar items in EconPapers)
Date: 2026-04-03
Note: This module should be installed from within Stata by typing "ssc install xtqrplot". The module is made available under terms of the MIT license (https://opensource.org/licenses/MIT).
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/x/xtqrplot.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtqrplot.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtqrplot_example.do sample do-file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtqrplot_test_suite.do sample do-file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtqrplot_manual.pdf documentation (application/pdf)

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