Quantile regression for dynamic panel data

[Mohammed Kasbar]

Dear Statalist respected users,

I am working on my 3rd empirical chapter and I am stuck in somewhere in the middle and I hope you can take me out of this problem.

My research question is to test if a variable X affects a variable Y in different percentiles of the distribution of a third variable, say M.

As far as I know, quantile regression can test the relationship between independent variables and different levels of the distribution of the outcome variable, but I do not know how to fit the quantile regression settings in my model given the fact that I have 3 variables. I do appreciate if you can provide me with the relevant Stata commands that can address my problem.

I am looking forward to hearing from you.

Thanks a lot in advance.


Kind regards,

[Mohammed Kasbar]

I do appreciate if someone helps!
Thanks a lot

[River Huang]

Hi Mohammed, I don't think that your research question is related to quantile regressions. Perhaps, adding an interaction between X and M might fit your need.

[Mohammed Kasbar]

Hi River,

Thanks a lot for your reply.
I might not have explained my question properly. What I am trying to do is to test how the Xs affect Y in different levels of a third variable, M. In other words, to test whether the relationship between X and Y changes with the change in the level of M.
the histogram of the distribution of the variable M is not allowing me to easily break it down to high, medium and low levels. I read about the quantile regression, but I was not able to fit it in my case. The interaction can help me if M is a moderator, but this is not my research question.
I hope I well explained now.
Thanks a lot.