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XTQRPLOT: Stata module to compute entity-specific marginal effects from panel quantile regression

Author

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  • Noman Arshed

    (Sunway Business School, Sunway University)

Programming Language

Abstract

xtqrplot estimates panel quantile regression across a user-defined grid of quantile windows and produces entity-specific marginal effect visualisations. For each cross-sectional unit, the command identifies its percentile rank in the distribution of the dependent variable, assigns it to the nearest quantile window, extracts the corresponding coefficient, and presents the result as a colour-coded bar chart or matrix heat map with 95% confidence intervals. The package supports both balanced and unbalanced panels, four effect types (raw coefficient, semi-elasticity, elasticity, basis points), three plot types (cross-section, time-dimension, panel x time heat map), pre-estimation normality diagnostics, and automatic results tables. An optional enhanced heat map is available if heatplot (SSC) is installed.

Suggested Citation

  • Noman Arshed, 2026. "XTQRPLOT: Stata module to compute entity-specific marginal effects from panel quantile regression," Statistical Software Components S459658, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459658
    Note: This module should be installed from within Stata by typing "ssc install xtqrplot". The module is made available under terms of the MIT license (https://opensource.org/licenses/MIT).
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtqrplot.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtqrplot.sthlp
    File Function: help file
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtqrplot_example.do
    File Function: sample do-file
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtqrplot_test_suite.do
    File Function: sample do-file
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtqrplot_manual.pdf
    File Function: documentation
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