QRPDMCMC: Stata module to provide Multi-Chain Adaptive Markov Chain Monte Carlo (MCMC) Estimation and Diagnostics for Quantile Regression for Panel Data with Non-Additive Fixed Effects

Kamilla Kosheeva () and Michail Liatos
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Kamilla Kosheeva: Friedrich-Alexander-University Erlangen-Nuremberg (FAU)

Statistical Software Components from Boston College Department of Economics

Abstract: qrpdmcmc extends the adaptive Markov Chain Monte Carlo (MCMC) optimization method in qregpd, the command that implements Quantile Regression for Panel Data with Non-Additive Fixed Effects (Powell, 2022, Empirical Economics). qrpdmcmc complements qregpd by providing an integrated environment for multi-chain MCMC estimation and convergence assessment. Users can specify multiple chains with independent seeds, combine retained draws across chains, and assess convergence, sampling efficiency, and draw behavior. The command provides graphical and numerical diagnostics, including summary statistics, density, trace, and running-average plots, autocorrelation functions, Effective Sample Size (ESS), Monte Carlo Standard Errors (MCSE), Gelman–Rubin R-hat statistics, Geweke diagnostics, and parameter cross-correlations. MCMC draws can be retained from the sampling process, saved to disk, and subsequently reloaded, allowing diagnostics to be performed without re-estimation and supporting reproducible workflows.

Language: Stata
Requires: Stata version 15,1 and moremama, amcmc from SSC (q.v.)
Keywords: quantile regression; panel data; adaptive fixed effects (search for similar items in EconPapers)
Date: 2026-09-28
Note: This module should be installed from within Stata by typing "ssc install qrpdmcmc". 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/q/qrpdmcmc.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/q/qregpd2.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/q/qrpdmcmc.sthlp help file (text/plain)

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