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QREG2: Stata module to perform quantile regression with robust and clustered standard errors

Author

Listed:
  • J.A.F. Machado

    (University of Essex)

  • P.M.D.C Parente

    (University of Essex)

  • J.M.C. Santos Silva

    (University of Surrey)

Programming Language

Stata

Abstract

qreg2 is a wrapper for qreg which estimates quantile regression and reports standard errors and t-statistics that are asymptotically valid under heteroskedasticity or under heteroskedasticity and intra-cluster correlation.

Suggested Citation

  • J.A.F. Machado & P.M.D.C Parente & J.M.C. Santos Silva, 2011. "QREG2: Stata module to perform quantile regression with robust and clustered standard errors," Statistical Software Components S457369, Boston College Department of Economics, revised 02 Mar 2021.
    • Handle: RePEc:boc:bocode:s457369
    Note: This module should be installed from within Stata by typing "ssc install qreg2". 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.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/q/qreg2.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/q/qreg2.sthlp
    File Function: help file
    Download Restriction: no
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    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
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    Cited by:

    1. Parente Paulo M.D.C. & Santos Silva João M.C., 2016. "Quantile Regression with Clustered Data," Journal of Econometric Methods, De Gruyter, vol. 5(1), pages 1-15, January.
    2. repec:esx:essedp:728 is not listed on IDEAS
    3. Dawson, Christopher & de Meza, David Emmanuel & Henley, Andrew & Arabsheibani, Reza, 2015. "The Power of (Non) Positive Thinking: Self-Employed Pessimists Earn More than Optimists," IZA Discussion Papers 9242, Institute of Labor Economics (IZA).
    4. Polat, Sezgin, 2013. "Wage Compensation for Risk: The Case of Turkey," GIAM Working Papers 13-11, Galatasaray University Economic Research Center.
    5. 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.
    6. Raghbendra Jha & Sadia Afrin, 2016. "Structural transformation in South Asia," ASARC Working Papers 2016-01, The Australian National University, Australia South Asia Research Centre.
    7. Laura Ferrando & Román Ferrer & Francisco Jareño, 2017. "Interest Rate Sensitivity of Spanish Industries: A Quantile Regression Approach," Manchester School, University of Manchester, vol. 85(2), pages 212-242, March.
    8. David Neumark & Bogdan Savych, 2017. "The Effects of Provider Choice Policies on Workers' Compensation Costs," NBER Working Papers 23611, National Bureau of Economic Research, Inc.
    9. Ursel Baumann & Melina Vasardani, 2016. "The slowdown in US productivity growth - what explains it and will it persist?," Working Papers 215, Bank of Greece.
    10. Nathan Chappell & Adam Jaffe, 2018. "Intangible Investment and Firm Performance," Review of Industrial Organization, Springer;The Industrial Organization Society, vol. 52(4), pages 509-559, June.
    11. Kataria, Mitesh, 2017. "How long do you think it will take? Field Evidence on Gender Differences in Time Optimism," Working Papers in Economics 694, University of Gothenburg, Department of Economics.
    12. Juergen Jung & Michael Makowsky, 2014. "The determinants of federal and state enforcement of workplace safety regulations: OSHA inspections 1990–2010," Journal of Regulatory Economics, Springer, vol. 45(1), pages 1-33, February.

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