MMQRTEST: Stata module to provide specification and diagnostic tests for MM-QR location-scale panel quantile models (Machado and Santos Silva 2019; Canay 2011)

Merwan Roudane ()

Statistical Software Components from Boston College Department of Economics

Abstract: mmqrtest provides the testing toolbox that Machado and Santos Silva (2019) call for but do not develop. Their method-of-moments quantile regression (MM-QR) is built on a conditional location-scale model, and the authors note that "although we do not develop such tests here, it is possible to test the assumption that the covariates only affect the location and scale functions" (sec. 1) and that such tests "can be constructed as tests for overidentifying restrictions, but it may be possible to develop simpler regression-based procedures" (sec. 7). mmqrtest implements that program: every maintained assumption of the MM-QR panel model is mapped to a computable diagnostic with a clear verdict, publication-style tables, and optional graphs.

Language: Stata
Requires: Stata version 14
Keywords: method of moments; quantile regression; tests (search for similar items in EconPapers)
Date: 2026-06-12
Note: This module should be installed from within Stata by typing "ssc install mmqrtest". 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/m/mmqrtest.ado
http://fmwww.bc.edu/repec/bocode/m/mmqrtest_canay.sthp
http://fmwww.bc.edu/repec/bocode/m/mmqrtest_distfe.sthlp
http://fmwww.bc.edu/repec/bocode/m/mmqrtest_guide.sthlp
http://fmwww.bc.edu/repec/bocode/m/mmqrtest_postestimation.sthlp
http://fmwww.bc.edu/repec/bocode/m/mmqrtest_scalepos.sthlp
http://fmwww.bc.edu/repec/bocode/m/mmqrtest_scalerel.sthlp
http://fmwww.bc.edu/repec/bocode/m/mmqrtest_spec.sthlp
http://fmwww.bc.edu/repec/bocode/m/mmqrtest.sthlp
http://fmwww.bc.edu/repec/bocode/m/mmqrtest_example.do

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