QQR: Stata module to estimate Bivariate Quantile-on-Quantile Regression (Sim & Zhou 2015)

Roudane, Merwan

QQR: Stata module to estimate Bivariate Quantile-on-Quantile Regression (Sim & Zhou 2015)

Statistical Software Components from Boston College Department of Economics

Abstract: qqr estimates a bivariate quantile-on-quantile regression following Sim & Zhou (2015). For each pair (τ, θ) the procedure fits a locally-weighted quantile regression y = β₀(τ,θ) + β₁(τ,θ) (x − x_θ) + u with kernel weights centred on the θ-quantile of x. The slope coefficient β₁(τ,θ) traces how the τ-quantile of y responds to x when x is at its θ-quantile. The result is an M×L surface that generalises both standard quantile regression (one θ) and OLS (the mean).

Language: Stata
Requires: Stata version 14
Keywords: quantile; regression (search for similar items in EconPapers)
Date: 2026-06-10
Note: This module should be installed from within Stata by typing "ssc install qqr". 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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