连老师、求谁能说说stata到底能做面板分位数不？

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小女纸准备做面板数据分位数回归，看论坛里面有些人说stata做不了，有些说要用R，也有人说用把横截面或者时间设置为虚拟变量，也有人说做了用LP算，那到底stata能做出来嘛？求给个详细的答案啊~~谢谢咯

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关键词：面板分位数 Stata tata 连老师 分位数 老师 面板

虽然你是面板数据，但是没有相应的面板分位数模型，只能当成一般数据进行分位数回归

R软件有命令包
rqpd


rqpd {rqpd}        R Documentation
Regression Quantiles for panel data (longitudinal data)

Description

Fit a panel data quantile regression model. The model is specified by using an extended formula syntax (implemented with the Formula package) and by easily configured model options (see Details).

Currently, the available models are (i) the penalized fixed-effects (FE) estimation method proposed by Koenker (2004) and (ii) the correlated-random-effects (CRE) method first proposed by Abrevaya and Dahl (2008) and elaborated on by Bache et al (2011).

The FE estimator is based on minimizing a weighted sum of K ordinary quantile regression objective functions corresponding to a selection of K values of tau, with user specified tau-specific weights. Slope coefficients of this objective function are tau dependent, whereas coefficients corresponding to the fixed effects are assumed to be independent of tau. The vector of fixed-effects coefficients are penalized by an l1 (lasso) penalty term with associated penalty parameter lambda, thereby shrinking these coefficients toward zero.

The CRE estimator do not estimate the fixed effects, but controls for time-invariant dependence between the fixed effects and a set of covariates by linearly including time-invariant CRE transformations of possibly endogenous time-varying variables. The conditional distribution of interest, is thus in some sense unconditional of the fixed effects.

面板分位数我是按照时序分位数用stata做的，也不知道对不对呢。

蓝色 发表于 2014-10-18 20:54
R软件有命令包
rqpd

您的回复很有帮助，谢谢~不过具体的操作命令是什么呢？？