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XTPQCCE: Stata module providing panel quantile CCE mean-group estimators (QCCEMG & CCEMG-CSQR)

Author

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  • Merwan Roudane

Programming Language

Abstract

xtpqcce estimates heterogeneous panel quantile regression models with unobserved common factors (interactive fixed effects) and cross-sectional dependence, using the Common Correlated Effects (CCE) approach of Pesaran (2006): each unit's quantile regression is augmented with cross-sectional averages of the dependent variable and regressors (and their lags) to proxy the latent factors, and the unit-level slopes are averaged into a mean-group estimator reported across quantiles.

Suggested Citation

  • Merwan Roudane, 2026. "XTPQCCE: Stata module providing panel quantile CCE mean-group estimators (QCCEMG & CCEMG-CSQR)," Statistical Software Components S459762, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459762
    Note: This module should be installed from within Stata by typing "ssc install xtpqcce". 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/xtpqcce.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtpqcce.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtpqcce_example.do
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtpqcce_graph.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtpqcce_postestimation.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/_/_xtpqcce_csqr.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/_/_xtpqcce_ebuild.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/_/_xtpqcce_qmg.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/l/lxtpqcce.mlib
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