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CDFQUANTREG: Stata module for estimating generalized linear models for doubly-bounded random variables with cdf-quantile distributions

Author

Listed:
  • Michael Smithson

    (Australian National University)

Programming Language

Stata

Abstract

cfquantreg estimates generalized linear models with cdf-quantile distributions for doubly-bounded random variables. It assumes that the dependent variable's values are in the (0,1) interval. These two-parameter distributions are especially useful for modeling quantiles, and have very flexible shapes. They enable a wide variety of quantile regression models with predictors for the location and dispersion parameters, and simple interpretations of those parameters. Users may specify separate submodels for the location and for the dispersion parameters, with different or overlapping sets of predictors in each.

Suggested Citation

  • Michael Smithson, 2019. "CDFQUANTREG: Stata module for estimating generalized linear models for doubly-bounded random variables with cdf-quantile distributions," Statistical Software Components S458704, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s458704
    Note: This module should be installed from within Stata by typing "ssc install cdfquantreg". 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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