[Justin Matz]

Dear professor,


Is it possible to run a MM-quantile regression with a midas estimation?

Best wishes,

Justin

[Joao Santos Silva]

Dear Justin Matz,

It may be possible, but I do not know.

Best wishes,

Joao

[Ahmet Caliskan]

Dear Joao Santos Silva ,
Thanks for help. I did replace "version 14" with "version 13.1" in the ado file. Then I ran the xtqreg command. I got this error: "unknown function ustrtoname()". Any ideas on that? Thanks!

Best,

Ahmet

[Ahmet Caliskan]

Dear Joao Santos Silva ,

I have now tried to replace all ustrtoname() functions in the .ado file with strtoname() to make it compatible with Stata 13 (based on the manual). But I still get the same error: "unknown function ustrtoname()". Thanks for help.

Best,
Ahmet

[Joao Santos Silva]

Dear Ahmet Caliskan,

Please email me and I'll send you a different command.

Best wishes,

Joao

[Ahmet Caliskan]

Dear Joao Santos Silva ,
When I run my panel data model, I get such a warning in red: "WARNING: .02942042% of the fitted values of the scale function are not positive". I do not know much about the scale and location functions. I tried to read your paper but it is too technical for me. Is this warning something that makes the results untrustable or invalid? How critically important is it? Or, at what percentage stated in the warning should I start to be concerned about the results? Thank you, Joao.

[Joao Santos Silva]

Dear Ahmet Caliskan,

The scale function is like a standard deviation, and therefore should not be negative. However, the percentage of negative observations you get is so small that you can possibly ignore it and attribute it to noise. There is no fixed level above which you should worry, but I would not worry in your case, but would definitively worry if I saw 20% of negative values.

Best wishes,

Joao

[Kuldeep Singh]

I want to run quantile regression on short panel data. I am getting that Random Effects are significant, the there is presence of heteroskedasticity and autocorrelation.
what command in Stata will allow to run quantile regression under such conditions. Is calculation of robust standard errors important?

[Joao Santos Silva]

With a short panel, the only option is to use correlated random effects.

[Justin Matz]

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

So, If I have only one dependent variables and two independent vectors of variables gather by X1 and X2, just writing this line of code is sufficient? I don't have to add other lines?

I thank you in advance for your answer.

Kind regards,
Matz Justin

[Joao Santos Silva]

For xtreg, the command you posted is correct; if you are talking about xtqreg, you do not need the fe option.

Best wishes,

Joao

[merve kaya]

Hello Guys,
Can anybody help me the code to run the Galvao dynamic quantile regression for fixed effects? I know this approached included the lag of the dependent variable. I have so amny sources but can't find anythiing useful. I understand there is no code for it but I can see Joao Santos Silva used this approached as a robust check in his paper. Please if anybody can help me i will appreciate it alot. Thankyou for your help.

Dear Owusu,

I also need to use the lag of dependent variable in my study. Did you find the Galvao's code?

[Giorgio Di Stefano]

Dear Joao Santos Silva
Do you think your command will be more suitable for my case here, and what is your recommendation on the model to adopt?
https://www.statalist.org/forums/for...tegar-vs-other

Also, does it accept margins and factorials notation?

[Joao Santos Silva]

Dear Giorgio Di Stefano,

I am not sure to which of my commands you are referring but my command for panel data is for the estimation of quantile regression, which is not what you are doing, right?

Best wishes,

Joao

[Giorgio Di Stefano]

Dear Giorgio Di Stefano,

I am not sure to which of my commands you are referring but my command for panel data is for the estimation of quantile regression, which is not what you are doing, right?

Best wishes,

Joao

Thank you much, Joao for the reply
I have considered the present command. I I would much appreciate your recommendation on the right method to adopt, though. I am not able to decide or to choose
Thank you in advance for your help and time
Best
Giorgio