[Justin Matz]

Dear @Joao Santos Silva,
I was wondering what is/are the difference(s) between the command mmqreg and xtqreg in Stata?

Thanks in advance,
Justin

[Justin Matz]

Joao Santos Silva,

Another question if I may, I was wondering if there are significant differences between the "Simple MM-QR estimation with fixed effects" and "MM-QR results with JK correction and clustered standard errors"?

Thanks in advance,
Justin

[FernandoRios]

Dear @Joao Santos Silva,
I was wondering what is/are the difference(s) between the command mmqreg and xtqreg in Stata?

Thanks in advance,
Justin

Hi Justin.
-mmqreg- is my own interpretation of xtqreg. The main difference was that i wanted a procedure to implement this approach when no fixed effects were considered, and when you add more than 1 set of fixed effects.
There are other minor differences in how it works internally, as my other purpose was a programming challenge of trying to implement this method almost fully in mata.
F

[Justin Matz]

Hi Justin.
-mmqreg- is my own interpretation of xtqreg. The main difference was that i wanted a procedure to implement this approach when no fixed effects were considered, and when you add more than 1 set of fixed effects.
There are other minor differences in how it works internally, as my other purpose was a programming challenge of trying to implement this method almost fully in mata.
F

Thanks for your answer @FernnadoRios! So, I have to choose the estimator which is most adapted to my model?! In my case, it is to compute the effects of factors on stock returns... So, I believe xtqref will be more adapted to my case study. Where could I find a document explaining how to implement the code for a xtqreg in Stata please?

[Joao Santos Silva]

Dear Justin Matz,

As noted by Fernando, both mmqreg and xtqreg implement essentially the same estimator, the one proposed in

Machado, J.A.F. and Santos Silva, J.M.C. (2019), Quantiles via Moments, Journal of Econometrics, 213(1), pp. 145–173.

There are minor differences between the two commands (e.g., xtqreg always includes one set of fixed effects, while by default mmqreg does not include fixed effects) but the results should be the same when you use the same specification in both commands. For details on the commands and the method, please check the help files and the paper mentioned above.

Best wishes,

Joao

[Justin Matz]

Joao Santos Silva Dear,
I really want to thank you for your help. DO you have the link to the help files?

Kind regards,
Justin

[Justin Matz]

Dear

Jeff Wooldridge,

 
Results for Total Demand: Quantile Effects






























(1)

(2)

(3)

(4)

(5)

(6)

(7)

(8)

(9)

(10)

(11)

(12)

(13)

(14)

(15)


Mean_Effects

Q_05

Q_15

Q_25

Q_45

Q_50

Q_55

Q_65

Q_75

Q_85

Q_8875

Q_90

Q_95

Q_99

Q_9975

VARIABLES














































X1
58.1145**

21.9807

23.8127

41.3204**

62.0513***

76.3585***

81.1684***

71.7518***

69.6911***

88.0096**

115.1847***

102.9998**

71.5924

-127.9446

-339.5787***


(26.1367)

(17.1387)

(18.4458)

(17.3128)

(21.3057)

(22.7966)

(21.5244)

(21.1384)

(24.4936)

(34.9356)

(43.8180)

(45.3374)

(84.0194)

(197.0906)

(67.3985)
































X2
-63.7874***

-16.0557

-19.9413**

-28.4479***

-32.6784***

-39.5835***

-41.7841***

-32.9478***

-27.3055*

-36.7389

-51.0431***

-43.1305

-24.9020

64.1774

59.2534***


(12.2551)

(9.9122)

(9.0798)

(9.1337)

(10.3506)

(11.8519)

(11.8891)

(12.1729)

(14.3594)

(23.0355)

(18.1450)

(26.5561)

(31.9265)

(122.0253)

(9.1669)
































X2*X3
-19.6117**

-2.5290

-12.6594

-18.2245**

-14.5731

-7.8030

-10.8540

-18.4405

-35.7097***

-48.9821*

-43.7227

-51.5993

-71.5634**

-92.4668

-215.2832***


(9.5994)

(11.6036)

(8.7018)

(8.7483)

(9.4771)

(9.3916)

(10.6235)

(12.7284)

(12.4179)

(26.0121)

(27.5833)

(37.7203)

(33.7521)

(134.6215)

(15.0696)
































X3
2.0538

-8.5343

3.2451

9.5758

5.8199

3.1130

4.7100

4.5319

11.2573

18.7810

22.7945

18.4069

36.1491

-16.1521

41.5128**


(6.4674)

(9.3836)

(6.5352)

(6.7032)

(7.0103)

(7.2752)

(8.2248)

(9.1673)

(9.1687)

(22.2990)

(23.8810)

(24.8503)

(22.3783)

(41.7486)

(18.2451)
































Observations
7,240

7,240

7,240

7,240

7,240

7,240

7,240

7,240

7,240

7,240

7,240

7,240

7,240

7,240

7,240
































R-squared
0.418

0.2094

0.3337

0.3801

0.4122

0.4185

0.4206

0.4184

0.4099

0.3920

0.3839

0.3854

0.3578

0.2707

0.2047
































Number of Individuals
1,448




























































Correlated Fixed Effects
YES

YES

YES

YES

YES

YES

YES

YES

YES

YES

YES

YES

YES

YES

YES
































Robust standard errors in parentheses





























*** p<0.01, ** p<0.05, * p<0.1

Thank you again for your time.

Cobby.

Does someone could provide me the Stata code in order to obtain this kind of output, which I will amend with my excel data, please?

[Joao Santos Silva]

Just type help followed by the name of the command.

[Justin Matz]

Just type help followed by the name of the command.

Thank you professor Joao.

[Justin Matz]

I have another question: I don't really get how to use the fixed effects fonction in Stata... What are the command to use? for example if I am writing "xtqreg y x1 x2"

[Joao Santos Silva]

Please check a textbook on the meaning of fixed effects.

[Justin Matz]

Is the writing : "xtreg y x1 x2, fe" correct?

[Joao Santos Silva]

If that is the model you want to estimate, yes.

[Ahmet Caliskan]

Dear Joao Santos Silva ,

Thank you so much for contributing the xtqreg module to STATA. I really want to use it for my "Growth at Risk" panel data model. I have installed xtqreg, but STATA tells me that I need version 14. I only have STATA 13.1 because I have not been affiliated with an institution since 2016. Do you have any idea how I can make it work in STATA 13? Or do you know someone I can ask for help? Thanks a lot!

[Joao Santos Silva]

Dear Ahmet Caliskan.

If you open the xtqreg.ado file with a text editor and in line replace "version 14" with "version 13.1", it should work.

Best wishes,

Joao