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Estimation of quantile regressions with fixed effects

Author

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  • Fernando Rios-Avila

    (Universidad Privada Boliviana)

  • Andrey Ramos

    (Bank of Spain)

  • Gustavo Canavire-Bacarreza

    (World Bank)

  • Leonardo Siles

    (Universidad de Chile)

Abstract

In this article, we introduce two new commands, qregfe and qregplot, that are designed for fitting and visualizing quantile regression models with fixed effects. qregfe provides a unified syntax for implementing three panel-data esti- mators that are commonly used in empirical research: 1) the correlated random- effects specification of Abrevaya and Dahl (2008, Journal of Business and Economic Statistics 26: 379–397); 2) the two-step location-shift estimator of Canay (2011, Econometrics Journal 14: 368–386); and 3) the method of moments quantile re- gression approach of Machado and Santos Silva (2019, Journal of Econometrics 213: 145–173). The companion command qregplot produces coefficient–quantile plots, allowing researchers to visualize how the coefficients of each covariate change across the outcome conditional distribution.

Suggested Citation

  • Fernando Rios-Avila & Andrey Ramos & Gustavo Canavire-Bacarreza & Leonardo Siles, 2026. "Estimation of quantile regressions with fixed effects," Stata Journal, StataCorp LLC, vol. 26(1), pages 111-131, March.
    • Handle: RePEc:tsj:stataj:v:26:y:2026:i:1:p:111-131
    DOI: 10.1177/1536867X261425793
    Note: to access software from within Stata, net describe http://www.stata-journal.com/software/sj26-1/st0799/
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