IDEAS home Printed from https://ideas.repec.org/c/boc/bocode/s458763.html
 

QRPROCESS: Stata module for quantile regression: fast algorithm, pointwise and uniform inference

Author

Listed:
  • Victor Chernozhukov

    (MIT)

  • Ivan Fernandez-Val

    (Boston University)

  • Blaise Melly

    (University of Bern)

Programming Language

Stata

Abstract

This package offers fast estimation and inference procedures for the linear quantile regression model. First, qrprocess implements new algorithms that are much quicker than the built-in Stata commands, especially when a large number of quantile regressions or bootstrap replications must be estimated. Second, the commands provide analytical estimates of the variance-covariance matrix of the coefficients for several quantile regressions allowing for weights, clustering and stratification. Third, in addition to traditional pointwise confidence intervals, this command also provides functional confidence bands and tests of functional hypotheses. Fourth, predict called after qrprocess can generate monotone estimates of the conditional quantile and distribution functions obtained by rearrangement. Fifth, the new command plotprocess conveniently plots the estimated coefficients with their confidence intervals and uniform bands.

Suggested Citation

  • Victor Chernozhukov & Ivan Fernandez-Val & Blaise Melly, 2020. "QRPROCESS: Stata module for quantile regression: fast algorithm, pointwise and uniform inference," Statistical Software Components S458763, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s458763
    Note: This module should be installed from within Stata by typing "ssc install qrprocess". 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/q/qrprocess.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/q/qrprocess.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/q/qrprocess_p.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/q/qrprocess_postestimation.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/p/plotprocess.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/p/plotprocess.sthlp
    File Function: help file
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:boc:bocode:s458763. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F Baum (email available below). General contact details of provider: https://edirc.repec.org/data/debocus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.