XTPQCS: Stata module to estimate Panel Quantile Regression with Common Shocks

Merwan Roudane ()

Statistical Software Components from Boston College Department of Economics

Abstract: xtpqcs estimates the fixed-effects panel quantile regression (FEQR) model using the unregularised Koenker (2004) concentration algorithm and reports the robust covariance matrix of Chiang, Galvao and Wei (2026, arXiv:2602.19201), which remains consistent in the presence (or absence) of pervasive common time shocks Bt that induce arbitrary cross-sectional dependence. Why does this matter? In macro/finance panels the residuals of different units are contemporaneously correlated because common factors (business cycles, monetary policy, oil prices) affect everybody at the same time. Classical FEQR theory ignores this correlation, leading to downward-biased standard errors and over-rejection of the null. xtpqcs eliminates this problem.

Language: Stata
Requires: Stata version 14
Keywords: panel data; quantile regression; fixed effects; common shocks (search for similar items in EconPapers)
Date: 2026-03-29
Note: This module should be installed from within Stata by typing "ssc install xtpqcs". 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/x/xtpqcs.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtpqcs.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtpqcsmc.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtpqcsplot.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtpqcsmc.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtpqcsplot.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xxtpqcs_demo.do sample do-file (text/plain)
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