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ssc install xtqreg
ssc install esttab
findit esttab
esttab,outreg2如上述命令在线无法安装，下载附件的包，手动安装在stata1*/ado/plus/....
help xtqreg
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Title
xtqreg -- Quantile regression with fixed effects
Syntax
xtqreg depvar indepvars [if] [in] [, options]
options Description
--------------------------------------------------------------------------
quantile(#[#[# ...]]) estimate # quantile; default is quantile(.5)
id specifies the variable defining the panel
ls displays the estimates of the location and
scale parameters
Description
xtqreg estimates quantile regressions with fixed effects using the method
of Machado and Santos Silva (2019).
Options
quantile(#[#[# ...]]) specifies the quantile to be estimated and should be
a number strictly between 0 and 1. The default value of 0.5
corresponds to the median. The quantiles can be specified as a list,
in which case the regression will be estimated for each quantile.
id(panelvar) specifies that the variable defining the panel is panelvar.
ls displays the estimates of the location and scale parameters
Remarks
xtqreg was written by J.A.F. Machado and J.M.C. Santos Silva and it is not
an official Stata command; we are grateful to Fernando Rios-Avila for help
writing this command. For further help and support, please contact
jmcss@surrey.ac.uk. Please notice that this software is provided as is,
without warranty of any kind, express or implied, including but not
limited to the warranties of merchantability, fitness for a particular
purpose and noninfringement. In no event shall the authors be liable for
any claim, damages or other liability, whether in an action of contract,
tort or otherwise, arising from, out of or in connection with the software
or the use or other dealings in the software.
Examples
----------------------------------------------------------------------------
Setup
. sysuse auto
Median regression with fixed effects for headroom
. xtqreg price weight length i.foreign, i(headroom)
Estimate .25 quantile with fixed effects for headroom
. xtqreg price weight length i.foreign, i(headroom) quantile(.25)
Estimate the nine deciles with fixed effects for headroom
. xtqreg price weight length i.foreign, i(headroom)
quantile(.1(0.1)0.9)
Median regression with fixed effects for headroom reporting the location
and scale estimates
. xtqreg price weight length i.foreign, i(headroom) quantile(.25) ls
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Saved results
When only one quantile is estimated, xtreg saves the following results in
e():
Scalars
e(N) number of observations
Macros
e(cmd) xtqreg
e(depvar) name of dependent variable
e(properties) b V
Matrices
e(b) coefficient vector
e(V) covariance matrix
e(q) estimated quantile of the scaled errors
e(b_location) location-coefficients vector
e(V_location) location-coefficients covariance matrix
e(b_scale) scale-coefficients vector
e(V_scale) scale-coefficients covariance matrix
Functions
e(sample) marks estimation sample
If multiple quantiles are estimated, xtqreg also saves b, V, and q for
each quantile with names of the form (for the first quartile) e(b_25),
e(V_25), and e(q_25). In this case, the matrices e(b), e(V), and e(q)
contain the results for the imated quantile.
References
Machado, J.A.F. and Santos Silva, J.M.C. (2019), Quantiles via Moments,
Journal of Econometrics, forthcoming.
Also see
Manual: [R] xtreg
esttab_outreg2_stata.rar
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