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


  • 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



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 31 Aug 2020.
  • 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 ( Windows users should not attempt to download these files with a web browser.

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