Quantile regression for panel data

[Nermine Medhioub]

Hello friends!
I am working on panel-data and testing the impact of variable X on Y using the OLS method. I want to run quantile regression but I am so confused between different commands (xtqreg, qreg, mdqr, xtmdqr, qreg2, bsqreg....)

[Joao Santos Silva]

Dear Nermine Medhioub,

I may be biased here, but I would suggest starting with xtqreg if you want to include fixed effects. Make sure you read the helpfile and the references there.

Best wishes,

Joao

[Nermine Medhioub]

Thank you a lot! @Joao Santos Silva
I want to know whether using xtqreg with fixed effects is directly tied to the outcome of a Hausman test or not.

[Joao Santos Silva]

Dear Nermine Medhioub,

No, you do not need the Hausman test in this case because there no real "random effects" estimator for quantile regression.

Best wishes,

Joao

[Nermine Medhioub]

Thank you so much @Joao Santos Silva! Your assistance has been truly invaluable to me