×

qregpd

swMATH ID: 32063
Software Authors: Matthew Baker
Description: QREGPD: Stata module to perform Quantile Regression for Panel Data. 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.
Homepage: https://econpapers.repec.org/software/bocbocode/s458157.htm
Dependencies: Stata
Related Software: Stata; EViews
Cited in: 1 Document

Cited in 0 Serials

Citations by Year