[Simone Alim]

Dear Joao Santos Silva

Thanks for offering your insights! If I simply have to add an interaction term, is xtqreg or qreg better?

I'm also wondering if mdqr or xtmdqr have random effects (https://www.stata.com/meeting/switze...22_Melly.pdf)? Note: my data does not have repeated observations.

Any advise is appreciated.

Warmly,
Simone

[Joao Santos Silva]

Dear Simone Alim,

If you do not need the fixed effects, just use qreg2 (to be able to cluster standard errors); otherwise you need xtqreg. I am afraid I am not familiar with the other commands.

Best wishes,

Joao

[Elias Windscheid]

Dear @Joao Santos Silva
I have used xtqreg for a panel dataset with n=6 (countries) and T>100 (quarter).
When plotting the predicted values for just one of my countries there is periods where the predicted values for Q5 are above the predicted values for Q95, this should not happen right? Whats the mistake here?

I use the following model for estimation (this was the best model for h=4 when comparing Tick loss of different variable combinations) :
xtqreg F4_RHP CLIFS RHP dSRI, quantile(0.05)
predict q5_predicted
xtqreg F4_RHP CLIFS RHP dSRI, quantile(0.95)
predict q95_predicted
keep if country_id == 1


RHP: first difference of log of RHP (index)
CLIFS : country level indicator of financial stress
dSRI: first difference of domestic systematic risk indicator

I included graphs for the predicted values (Q5 and Q95) for Germany as well as RHP series for Germany and all countries.

Thank you in advance!

[Joao Santos Silva]

Dear Elias Windscheid,

Indeed, that should not happen. Are you getting the predictions only for the estimation period?

If you can, please send me the data and the code by email so that I can investigate. I'll report my findings here.

Best wishes,

Joao