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Quantile regression: Basics and recent advances

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  • João Santos Silva

    (School of Economics, University of Surrey)

Abstract

This presentation starts with a general introduction to quantile regression (see qreg and related commands) and then addresses two topics from recent research, specifically quantile regression with time-invariant individual ("fixed") effects, and structural quantile function estimation. After summarizing the main results in these areas, I present the approach to these problems proposed by Machado and Santos Silva (Quantiles via moments, Journal of Econometrics 2019, forthcoming), and illustrate the use of the corresponding Stata commands xtqreg and ivqreg2 (downloadable from SSC).

Suggested Citation

  • João Santos Silva, 2019. "Quantile regression: Basics and recent advances," London Stata Conference 2019 27, Stata Users Group.
    • Handle: RePEc:boc:usug19:27
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    References listed on IDEAS

    as
    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. Ivan A. Canay, 2011. "A simple approach to quantile regression for panel data," Econometrics Journal, Royal Economic Society, vol. 14(3), pages 368-386, October.
    3. Koenker, Roger, 2004. "Quantile regression for longitudinal data," Journal of Multivariate Analysis, Elsevier, vol. 91(1), pages 74-89, October.
    4. Lee, Myoung-jae, 1992. "Median regression for ordered discrete response," Journal of Econometrics, Elsevier, vol. 51(1-2), pages 59-77.
    5. Powell, James L., 1984. "Least absolute deviations estimation for the censored regression model," Journal of Econometrics, Elsevier, vol. 25(3), pages 303-325, July.
    6. Manski, Charles F., 1985. "Semiparametric analysis of discrete response : Asymptotic properties of the maximum score estimator," Journal of Econometrics, Elsevier, vol. 27(3), pages 313-333, March.
    7. Machado, Jose A.F. & Silva, J. M. C. Santos, 2005. "Quantiles for Counts," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 1226-1237, December.
    8. Kato, Kengo & F. Galvao, Antonio & Montes-Rojas, Gabriel V., 2012. "Asymptotics for panel quantile regression models with individual effects," Journal of Econometrics, Elsevier, vol. 170(1), pages 76-91.
    9. Horowitz, Joel L, 1992. "A Smoothed Maximum Score Estimator for the Binary Response Model," Econometrica, Econometric Society, vol. 60(3), pages 505-531, May.
    10. Chernozhukov, Victor & Hansen, Christian, 2008. "Instrumental variable quantile regression: A robust inference approach," Journal of Econometrics, Elsevier, vol. 142(1), pages 379-398, January.
    11. Manski, Charles F., 1975. "Maximum score estimation of the stochastic utility model of choice," Journal of Econometrics, Elsevier, vol. 3(3), pages 205-228, August.
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    Cited by:

    1. Tam NguyenHuu & Deniz Karaman Orsal, 2022. "Geopolitical risks and financial stress in emerging economies," Working Papers 2022.09, International Network for Economic Research - INFER.

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