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XTPQCS: Stata module to estimate Panel Quantile Regression with Common Shocks

Author

Listed:
  • Merwan Roudane

Programming Language

Abstract

xtpqcs estimates the fixed-effects panel quantile regression (FEQR) model using the unregularised Koenker (2004) concentration algorithm and reports the robust covariance matrix of {bf:Chiang, Galvao and Wei (2026, arXiv:2602.19201)}, which remains consistent in the presence (or absence) of pervasive common time shocks Bt that induce arbitrary cross-sectional dependence. Why does this matter? In macro/finance panels the residuals of different units are contemporaneously correlated because common factors (business cycles, monetary policy, oil prices) affect everybody at the same time. Classical FEQR theory ignores this correlation, leading to downward-biased standard errors and over-rejection of the null. xtpqcs eliminates this problem.

Suggested Citation

  • Merwan Roudane, 2026. "XTPQCS: Stata module to estimate Panel Quantile Regression with Common Shocks," Statistical Software Components S459667, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459667
    Note: This module should be installed from within Stata by typing "ssc install xtpqcs". 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.
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtpqcs.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtpqcs.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtpqcsmc.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtpqcsplot.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtpqcsmc.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtpqcsplot.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xxtpqcs_demo.do
    File Function: sample do-file
    Download Restriction: no
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