Dear Stata Users,
I want to run an unconditional quantile regression in combination with IV and also include (e.g. firm) fixed effects.
First of all, large parts of the literature on quantile regression seem to refer only to conditional quantile regression which is mirrored by several Stata commands that are only available for conditional quantile regression. However, for many applications, I consider unconditional quantile regressions to be a more decent technique.
I want to run an unconditional quantile regression in combination with IV and also include (e.g. firm) fixed effects.
First of all, large parts of the literature on quantile regression seem to refer only to conditional quantile regression which is mirrored by several Stata commands that are only available for conditional quantile regression. However, for many applications, I consider unconditional quantile regressions to be a more decent technique.
- (Why) is it not possible to estimate this kind of regression by simply defining RIF (as given by Alexandra Killewald and Jonathan Bearak “Is the Motherhood Penalty Larger for Low-Wage Women? A Comment on QuantileRegression” (p. 353)) and then using the xtivreg – command to include the RIF as dependent variable in the instrumental variable estimation?
- Which Stata command for the above regression (unconditional QReg with IV and FE) would you suggest? The following commands did not help me to solve the problem:
- genqreg (installed with ssc install genqreg and ssc install moremata). As pointed out here: https://www.statalist.org/forums/for...-using-genqreg this command seems to have problems dealing with lots of dummies
- qregpd. As noted above, I think that this command only offers conditional quantile regression, no unconditional quantile regressions.
- ivqte would generally be a decent choice. However, the corresponding article in the Stata Journal (available here: https://journals.sagepub.com/doi/pdf...867X1001000309 ) underlines that this is only an appropriate command if the instrument is binary which does not apply to the instrument I use.
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