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Fixed effects in unconditional quantile regression

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  • Nicolai T. Borgen

    (University of Oslo)

Abstract

Unconditional quantile regression has quickly become popular after being introduced by Firpo, Fortin, and Lemieux (2009, Econometrica 77: 953– 973) and is easily implemented using the user-written command rifreg by the same authors. However, including high-dimensional fixed effects in rifreg is quite burdensome and sometimes even impossible. In this article, I show that when the number of fixed effects is large, the computational speed is massively increased by using xtreg rather than regress to fit the unconditional quantile regression models. I also introduce the xtrifreg command, which should be considered a supplement to rifreg. The xtrifreg command has many of the same features as rifreg but can be used to include a large number of fixed effects, to estimate cluster–robust standard errors, and to estimate cluster–bootstrapped standard errors.

Suggested Citation

  • Nicolai T. Borgen, 2016. "Fixed effects in unconditional quantile regression," Stata Journal, StataCorp LP, vol. 16(2), pages 403-415, June.
    • Handle: RePEc:tsj:stataj:y:16:y:2016:i:2:p:403-415
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