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XTPQGMM: Stata module to estimate GMM panel data quantile model

Author

Listed:
  • Merwan Roudane

Programming Language

Abstract

xtpqgmm fits the smoothed profiled GMM estimator for panel data quantile regression with individual fixed effects and endogenous regressors proposed by Galvao, Hounyo and Lin (2026), "GMM for panel data quantile regression", arXiv:2610.12824. The fixed effects are profiled out rather than estimated jointly, the indicator function is smoothed with a fourth-order kernel, and the standard errors are HAC (Bartlett) within unit. The exactly identified method-of-moments variant and the one-step estimator are also available.

Suggested Citation

  • Merwan Roudane, 2026. "XTPQGMM: Stata module to estimate GMM panel data quantile model," Statistical Software Components S459937, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459937
    Note: This module should be installed from within Stata by typing "ssc install xtpqgmm". 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/xtpqgmm.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtpqgmm.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/l/lxtpqgmm.mlib
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtpqgmm_methods.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtpqgmm_postestimation.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtpqgmmplot.ado
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