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QREGPD: Stata module to perform Quantile Regression for Panel Data


  • Matthew Baker

    () (Hunter College)

Programming Language



qregpd can be used to fit the quantile regression for panel data (QRPD) estimator developed in Powell (2015). The estimator addresses a fundamental problem posed by alternative fixed-effect quantile estimators: inclusion of individual fixed effects alters the interpretation of the estimated coefficient on the treatment variable. As detailed in Powell(2016), the QRPD estimator is a special case of the generalized quantile estimator implemented by genqreg. 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. "QREGPD: Stata module to perform Quantile Regression for Panel Data," Statistical Software Components S458157, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:s458157
    Note: This module should be installed from within Stata by typing "ssc install qregpd". 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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