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MMQRTEST: Stata module to provide specification and diagnostic tests for MM-QR location-scale panel quantile models (Machado and Santos Silva 2019; Canay 2011)

Author

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  • Merwan Roudane

Programming Language

Abstract

mmqrtest provides the testing toolbox that Machado and Santos Silva (2019) call for but do not develop. Their method-of-moments quantile regression (MM-QR) is built on a conditional location-scale model, and the authors note that "although we do not develop such tests here, it is possible to test the assumption that the covariates only affect the location and scale functions" (sec. 1) and that such tests "can be constructed as tests for overidentifying restrictions, but it may be possible to develop simpler regression-based procedures" (sec. 7). mmqrtest implements that program: every maintained assumption of the MM-QR panel model is mapped to a computable diagnostic with a clear verdict, publication-style tables, and optional graphs.

Suggested Citation

  • Merwan Roudane, 2026. "MMQRTEST: Stata module to provide specification and diagnostic tests for MM-QR location-scale panel quantile models (Machado and Santos Silva 2019; Canay 2011)," Statistical Software Components S459749, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459749
    Note: This module should be installed from within Stata by typing "ssc install mmqrtest". 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/m/mmqrtest.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/m/mmqrtest_canay.sthp
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    File URL: http://fmwww.bc.edu/repec/bocode/m/mmqrtest_distfe.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/m/mmqrtest_guide.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/m/mmqrtest_postestimation.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/m/mmqrtest_scalepos.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/m/mmqrtest_scalerel.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/m/mmqrtest_spec.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/m/mmqrtest.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/m/mmqrtest_example.do
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