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GENQREG: Stata module to perform Generalized Quantile Regression

Author

Listed:
  • Matthew Baker

    (Hunter College)

Programming Language

Stata

Abstract

genqreg can be used to fit the generalized quantile regression estimator developed in Powell (2016). The generalized quantile estimator addresses a fundamental problem posed by traditional quantile estimators: inclusion of additional covariates alters the interpretation of the estimated coefficient on the treatment variable. As detailed in Powell (2016), the generalized quantile estimator implemented by genqreg addresses this problem and produces unconditional quantile treatment effects even in the presence of additional control variables. 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. "GENQREG: Stata module to perform Generalized Quantile Regression," Statistical Software Components S458158, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s458158
    Note: This module should be installed from within Stata by typing "ssc install genqreg". 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/g/genqreg.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/g/genqreg.sthlp
    File Function: help file
    Download Restriction: no
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