Quantile regression (QR) for panel data

[sedki zn]

Dear all

i hope you are doing well

I'm working on my PhP thesis and i will use the QR for study the non linear relationship between my variables

Actually, i did study many articles dealing with that regression and i'd like to ask you about how to run the '' Tests of the equality of slope estimates across various quantiles " as presented in the following output :

Best regards
SEDKI

[FernandoRios]

Hi Sedki
I think the answer to your question may depend on the estimator you are using. And, from the looks of the table you show, I think the authors are using "xtqreg" (see ssc desribe xtqreg).
This command does not have an inbuilt test for comparing across quantiles, but, as he suggests, you could bootstrap the results, to get your conclusions.
something like this:

use http://fmwww.bc.edu/RePEc/bocode/o/oaxaca.dta
program sxtqreg , eclass
    xtqreg lnwage educ exper tenure female, i(age) q(.1(.1).9)
    tempname b 
    forvalues i=1/9 {
        tempname b`i'
        matrix `b`i''=e(b_`i')
        matrix coleq `b`i'' = q`i'
        matrix `b'=nullmat(`b'),`b`i''
    }
    ereturn post `b'
end

bootstrap, cluster(age):sxtqreg 
test [q9=q8]

HTH

[sedki zn]

Dear FernandoRios

Thank you very much for your response

Actually i'm still a begginer with the QR.

First of all, i would like to ask you which command is more appropriate (qreg2 , ivqreg2 or xtqreg)

(i'm working on the impact of risk taking on firm performence using a date of 781 observations ( T=11), it is a fixed effect panel data)

Best regards