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MMQREG: Stata module to estimate quantile regressions via Method of Moments

Author

Listed:
  • Fernando Rios-Avila

    (Levy Economics Institute of Bard College)

Programming Language

Stata

Abstract

mmqreg estimates quantile regressions using the method of moments as proposed by Machado and Santos Silva (J. Econometrics, 2019). In contrast with xtqreg, this command allows for the estimation of quantile regressions without fixed effects, as well as when multiple fixed effects are used.

Suggested Citation

  • Fernando Rios-Avila, 2020. "MMQREG: Stata module to estimate quantile regressions via Method of Moments," Statistical Software Components S458750, Boston College Department of Economics, revised 21 Jun 2022.
    • Handle: RePEc:boc:bocode:s458750
    Note: This module should be installed from within Stata by typing "ssc install mmqreg". 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/m/mmqreg.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/m/mmqreg.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/m/mmqreg_example.do
    File Function: sample file
    Download Restriction: no
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