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QREGPD: Stata module to perform Quantile Regression for Panel Data

Author

Listed:
  • Matthew Baker

    (Hunter College)

Programming Language

Stata

Abstract

qregpd can be used to fit the quantile regression for panel data (QRPD) estimator developed in Powell (2015). The estimator addresses a fundamental problem posed by alternative fixed-effect quantile estimators: inclusion of individual fixed effects alters the interpretation of the estimated coefficient on the treatment variable. As detailed in Powell(2016), the QRPD estimator is a special case of the generalized quantile estimator implemented by genqreg. Numerical optimization proceeds via a Nelder-Mead algorithm. As estimation and calculation of standard errors can sometimes pose numerical challenges, the user can estimate generalized quantile regressions using Markov Chain Monte Carlo methods or grid-search methods.

Suggested Citation

  • Matthew Baker, 2016. "QREGPD: Stata module to perform Quantile Regression for Panel Data," Statistical Software Components S458157, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s458157
    Note: This module should be installed from within Stata by typing "ssc install qregpd". 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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    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/q/qregpd.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/q/qregpd.sthlp
    File Function: help file
    Download Restriction: no
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    Citations

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    Cited by:

    1. Luigi Aldieri & Concetto Paolo Vinci, 2017. "Quantile Regression for Panel Data: An Empirical Approach for Knowledge Spillovers Endogeneity," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(7), pages 106-113, July.

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