How to obtain robust standard errors with -sqreg-?

[Alex Mai]

Dear Statalists,

I have a question about robust standard errors in -sqreg- ((simultaneous quantile regression). Unlike -qreg-, -sqreg- only has the option of bootstrap -reps(#)-, but not -vce(robust)-.

So is there any way to obtain robust standard errors with -sqreg-? Or can bootstraping generate similar results?

Many thanks!

[Joao Santos Silva]

Dear Alex,

The bootstrap standard errors are robust to heteroskedasticity.

Best wishes,

Joao