[akwa amps]

Thank you Team for this effort. I am very grateful for this command. May I please know if there is a command for generating graphs for the quantiles. I want to know if there is an alternative for coefplot command. Thank you

[Alwin Dsouza]

i am using qregpd for panel data. But the results i get does not have the constant term. how do i get the constant term.

[Yunsu DU]

Dear Matthew,

I have downloaded the "moremata" and "amcmc" package. When I run the followe model:
qregpd ln_wage tenure union, id(idcode) fix(year) optimize(grid) min1(0) max1(0.06) intvl1(0.005) min2(0.05) max2(0.1) intvl2(0.005) instruments(ttl_exp wks_work union) I get the following error: option min1() not allowed.

Thank you for your reply.

[Periklis Boumparis]

Dear Matthew J. Baker

Congratulations for the code. It is very innovative and very useful. I have already estimated some models and I got very useful results, but I still have a question. What about the absence of constant term? How can we explain this? Does it create any problems on the interpretation of the results?

Yours sincerely
Periklis Boumparis

[freire fernandes]

dear all,

i am using the qregpd command and was wondering if you are aware of any straightforward way to graph the results?

Thanks,
nicole

you discovered how?

[freire fernandes]

Hello everyone

I also need help. I am completing panel quantile regression and I am only getting coefficients of the independent variables only. The pvalues, standard error and confidence intervals are not generated.

I used command . qregpd LogEmissions LogGDP LogGDP2 Indu manu Trade Apopn, id(Country) fix(Year) quantile(0.7)

Please help, is it the right command???

Can somebody help me with the complete stata command for panel quantile regression for a particular quantile...

Place the Sampler (mwg) OU from (starts) BEFORE OPTIMIZE (MCMC)

[freire fernandes]

Dear fellow Stata enthusiasts –

With thanks to Kit Baum, and on behalf of David Powell and Travis Smith, I am happy to announce two new Stata Packages: genqreg and qregpd. These packages implement the generalized quantile estimator developed by Powell (2016), and the panel quantile estimator developed by Powell (2015). A detailed description of each estimator follows.

genqreg – generalized quantile regression in Stata:

genqreg implements the generalized quantile estimator developed in Powell (2016). The generalized quantile estimator addresses a fundamental problem posed by traditional quantile estimators: inclusion of additional covariates alters the interpretation of the estimated coefficient on the treatment variable. The generalized quantile estimator implemented by genqreg addresses this problem and produces unconditional quantile treatment effects even in the presence of additional control variables. genqreg also allows for endogeneity and inclusion of additional instruments, and inclusion of additional “proneness” variables.

As estimation can be numerically challenging, and recovering standard errors difficult, genqreg provides a number of alternative estimation methods. One can estimate via grid search, Markov chain Monte Carlo (MCMC), or Nelder-Mead numerical optimization. To use MCMC, the user must first install the AMCMC package (ssc install amcmc) .

Examples, following Chernozhukov and Hansen (2008):

Robust quantile regression with qreg:

. use http://fmwww.bc.edu/repec/bocode/j/jtpa.dta, clear
. keep if sex == 1
. qreg earnings training hsorged black hispanic married wkless13 class_tr ojt_jsa age2225 age2629 age3035 age3644 age4554 f2sms, q(85) vce(robust)

Same as above, with genqreg:

. genqreg earnings training hsorged black hispanic married wkless13 class_tr ojt_jsa age2225 age2629 age3035 age3644 age4554 f2sms, q(85)

Same, estimation via MCMC:

. genqreg earnings training hsorged black hispanic married wkless13 class_tr ojt_jsa age2225 age2629 age3035 age3644 age4554 f2sms, ///
q(85) optimize(mcmc) noisy draws(10000) burn(3000) arate(.5)

Specifying control variables as proness variables, with an instrument, estimation using grid-search:

genqreg earnings training, q(85) instrument(assignmt) proneness(hsorged black hispanic married wkless13 class_tr ojt_jsa age2225 age2629 age3035 age3644 age4554 f2sms) ///
optimize(grid) min1(1000) max1(3500) intvl1(50)

Additional examples can be found in the genqreg help file. genqreg can be installed via ssc (ssc install genqreg)

qregpd – quantile regression with panel data in Stata

qregpd implements the quantile estimator for panel data developed by Powell (2015). As detailed in Powell (2016) – an awesome paper - this estimator is a special case of the generalized quantile estimator implemented by genqreg. The estimator addresses a fundamental problem posed by alternative fixed-effect quantile estimators: inclusion of fixed effects alters the interpretation of the estimated coefficient on the treatment variable.

As is the case for genqreg, estimation of parameters and standard errors can be difficult, so a variety of different options, including MCMC estimation and grid search, are provided with qregpd.

Examples:

Robust quantile regression for panel data:

. webuse nlswork
. qregpd ln_wage tenure union, id(idcode) fix(year)

Same as above, MCMC:

. qregpd ln_wage tenure union, id(idcode) fix(year) optimize(mcmc) noisy draws(1000) burn(100) arate(.5)

Robust instrumental variable quantile regression for panel data, grid-search optimization:

. qregpd ln_wage tenure union, id(idcode) fix(year) optimize(grid) min1(0) max1(0.06) intvl1(0.005) min2(0.05) max2(0.1) intvl2(0.005) instruments(ttl_exp wks_work union)

Further examples and options can be found in the help file. qregpd can be install via ssc (ssc install qregpd).

Enjoy! And of course, comments, criticisms, and suggestions are welcome...

Matt Baker (on behalf of David Powell and Travis Smith)

How to get the error term after the estimation?

[freire fernandes]

Dear Matthew J. Baker and other colleagues

How do I get the error term, after estimating by the QRPD command?

[freire fernandes]

i am using qregpd for panel data. But the results i get does not have the constant term. how do i get the constant term.

Did you find out how to get the constant?

[sedki zn]

hey everyone,
if i will use the command '' qregpd '' , then how can i make graph ? because with the commad '' qreg '' we can make graph with the commad '' grqreg '' and we can scatter plot .. so how we can do that with '' qregpd'' ?
thank you

[Sherena Huang]

Dear Matthew,

I have downloaded the "moremata" and "amcmc" package. When I run the followe model:
qregpd ln_wage tenure union, id(idcode) fix(year) optimize(grid) min1(0) max1(0.06) intvl1(0.005) min2(0.05) max2(0.1) intvl2(0.005) instruments(ttl_exp wks_work union) I get the following error: option min1() not allowed.

Thank you for your reply.

Same problem above. Option min1 () not allowed. How to solve it please?

[Sherena Huang]

hey everyone,
if i will use the command '' qregpd '' , then how can i make graph ? because with the commad '' qreg '' we can make graph with the commad '' grqreg '' and we can scatter plot .. so how we can do that with '' qregpd'' ?
thank you

Same question above, solution is much needed. Thanks!!!!

[Sherena Huang]

Please can anyone explain why # of instruments must be >= # of right-hand side variables? Thanks.

[Sherena Huang]

Please can anyone explain why # of instruments must be >= # of right-hand side variables? Thanks.

sorted.

[Juan Miranda]

Hello everyone, great post.
I have a question, I'm trying to use the commands xi: and i. like this:

xi: qregpd l_igini l_egdp00 i.reg, id (id) fix (year) quantile (0.25)

where all the variables are numbers in that command line.

and Stata throws me the next mistake.

"factor variables and time-series operators not allowed"

Please someone to help me understand what I'm doing wrong or how can I solve the problem?
Thanks in advance.