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QRPDMCMC: Stata module to provide Multi-Chain Adaptive Markov Chain Monte Carlo (MCMC) Estimation and Diagnostics for Quantile Regression for Panel Data with Non-Additive Fixed Effects

Author

Listed:
  • Kamilla Kosheeva

    (Friedrich-Alexander-University Erlangen-Nuremberg (FAU))

  • Michail Liatos

    (Friedrich-Alexander-University Erlangen-Nuremberg (FAU))

Programming Language

Abstract

qrpdmcmc extends the adaptive Markov Chain Monte Carlo (MCMC) optimization method in qregpd, the command that implements Quantile Regression for Panel Data with Non-Additive Fixed Effects (Powell, 2022, Empirical Economics). qrpdmcmc complements qregpd by providing an integrated environment for multi-chain MCMC estimation and convergence assessment. Users can specify multiple chains with independent seeds, combine retained draws across chains, and assess convergence, sampling efficiency, and draw behavior. The command provides graphical and numerical diagnostics, including summary statistics, density, trace, and running-average plots, autocorrelation functions, Effective Sample Size (ESS), Monte Carlo Standard Errors (MCSE), Gelman–Rubin R-hat statistics, Geweke diagnostics, and parameter cross-correlations. MCMC draws can be retained from the sampling process, saved to disk, and subsequently reloaded, allowing diagnostics to be performed without re-estimation and supporting reproducible workflows.

Suggested Citation

  • Kamilla Kosheeva & Michail Liatos, 2026. "QRPDMCMC: Stata module to provide Multi-Chain Adaptive Markov Chain Monte Carlo (MCMC) Estimation and Diagnostics for Quantile Regression for Panel Data with Non-Additive Fixed Effects," Statistical Software Components S4590909, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459909
    Note: This module should be installed from within Stata by typing "ssc install qrpdmcmc". 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/q/qrpdmcmc.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/q/qregpd2.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/q/qrpdmcmc.sthlp
    File Function: help file
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