Dear All, I know that we can obtain figures of coefficients estimates of quantile regression by using -grqreg- (please ssc install grqreg) after the -qreg- command. An example is
Thanks to Machado, J.A.F. and Santos Silva, J.M.C. (2018), Quantiles via Moments, Journal of Econometrics, forthcoming, now we can use -xtqreg- (please ssc install xtqreg) command to estimate quantile regressions with fixed effects. An example is
with results as
My question is: How can I draw a figure (like the one above) in this situation? Thanks.
Code:
webuse grunfeld, clear // please ssc install grqreg // without fixed effects qreg invest mvalue kstock grqreg, ci ols olsci
Thanks to Machado, J.A.F. and Santos Silva, J.M.C. (2018), Quantiles via Moments, Journal of Econometrics, forthcoming, now we can use -xtqreg- (please ssc install xtqreg) command to estimate quantile regressions with fixed effects. An example is
Code:
xtset company year
// please ssc install xtqreg
// with fixed effects
forvalues q = 10(10)90 {
xtqreg invest mvalue kstock, q(0.`q')
}
Code:
. // please ssc install xtqreg
. // with fixed effects
. forvalues q = 10(10)90 {
2. xtqreg invest mvalue kstock, q(0.`q')
3. }
MM-QR regression results
Number of obs = 200
.1 Quantile regression
------------------------------------------------------------------------------
| Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
mvalue | .084099 .029583 2.84 0.004 .0261174 .1420805
kstock | .2646024 .0552066 4.79 0.000 .1563994 .3728054
------------------------------------------------------------------------------
MM-QR regression results
Number of obs = 200
.2 Quantile regression
------------------------------------------------------------------------------
| Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
mvalue | .0915338 .0237915 3.85 0.000 .0449033 .1381644
kstock | .2775904 .0444176 6.25 0.000 .1905334 .3646474
------------------------------------------------------------------------------
MM-QR regression results
Number of obs = 200
.3 Quantile regression
------------------------------------------------------------------------------
| Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
mvalue | .0978504 .0224984 4.35 0.000 .0537543 .1419465
kstock | .2886248 .04201 6.87 0.000 .2062867 .3709629
------------------------------------------------------------------------------
MM-QR regression results
Number of obs = 200
.4 Quantile regression
------------------------------------------------------------------------------
| Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
mvalue | .1031741 .0244971 4.21 0.000 .0551607 .1511875
kstock | .2979249 .0457377 6.51 0.000 .2082807 .3875691
------------------------------------------------------------------------------
MM-QR regression results
Number of obs = 200
.5 Quantile regression
------------------------------------------------------------------------------
| Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
mvalue | .112539 .0329018 3.42 0.001 .0480526 .1770254
kstock | .3142844 .0614081 5.12 0.000 .1939268 .434642
------------------------------------------------------------------------------
MM-QR regression results
Number of obs = 200
.6 Quantile regression
------------------------------------------------------------------------------
| Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
mvalue | .1164492 .0373915 3.11 0.002 .0431631 .1897353
kstock | .3211153 .0697806 4.60 0.000 .1843478 .4578827
------------------------------------------------------------------------------
MM-QR regression results
Number of obs = 200
.7 Quantile regression
------------------------------------------------------------------------------
| Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
mvalue | .1249394 .0484885 2.58 0.010 .0299037 .2199751
kstock | .3359468 .0904895 3.71 0.000 .1585906 .5133029
------------------------------------------------------------------------------
MM-QR regression results
Number of obs = 200
.8 Quantile regression
------------------------------------------------------------------------------
| Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
mvalue | .1335321 .0603947 2.21 0.027 .0151606 .2519036
kstock | .3509575 .1127063 3.11 0.002 .1300572 .5718578
------------------------------------------------------------------------------
MM-QR regression results
Number of obs = 200
.9 Quantile regression
------------------------------------------------------------------------------
| Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
mvalue | .149272 .0832815 1.79 0.073 -.0139567 .3125008
kstock | .3784536 .1554208 2.44 0.015 .0738345 .6830727
------------------------------------------------------------------------------
