[setareh amd]

Dear Joao Santos Silva
I have problem with qregpd estimation. Each times I estimate, I've received different result. I attached my estimation here.
I would be grateful if you could help me with quantile regression.
Thank you in advance.
Best regards

[Joao Santos Silva]

Dear setareh amd,

I am not the author of that command and I have no experience using it. Also, I do not think that this command is useful in your case.

Best wishes,

Joao

[setareh amd]

Dear Joao Santos Silva Thank you.

[Fadi Ansar]

Dear Joao Santos Silva
from the above discussion I understood that xtqreg command is best for panel model with fixed effect .but whenever I run xtqreg command it showing that factor-variable and time-series operators not allowed ,is there any solution for this .Can anyone help me on this

[Joao Santos Silva]

Dear Fadi Ansar,

Please make sure you have the latest version as I believe it allows factor variables. Otherwise, just use the prefix xi.

Best wishes,

Joao

[Fadi Ansar]

Dear Joao Santos Silva
from the above discussion I understood that xtqreg command is best for panel model with fixed effect .but whenever I run xtqreg command it showing that factor-variable and time-series operators not allowed ,is there any solution for this .Can anyone help me on this

[Joao Santos Silva]

Dear Fadi Ansar,

Please see above.

Joao

[Fadi Ansar]

Thankyou Joao Santos Silva .Now the command is working but the result I am getting something not usual. I don't know why I am getting a result like this ,If you have any suggestions on this

xtqreg lzscore d_callmoneyrate boone_ind c5_aggregate lasset capitalratio liqu
> idityratio cbt finfreedom inf domesticcredittoprivatesectorofg nim i.year i.Ow
> nership,id(BankName) quantile(.9)



                              MM-QR regression results
Number of obs = 663
WARNING: some fitted values of the scale function are negative
.9 Quantile regression
Warning:  variance matrix is nonsymmetric or highly singular
-------------------------------------------------------------------------------
              |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
--------------+----------------------------------------------------------------
d_callmoney~e |   .0314154          .        .       .            .           .
    boone_ind |   1.798493          .        .       .            .           .
 c5_aggregate |  -32.43105          .        .       .            .           .
       lasset |   .0010478          .        .       .            .           .
 capitalratio |   .0435846          .        .       .            .           .
liquidityra~o |  -.0078382          .        .       .            .           .
          cbt |   .1283219          .        .       .            .           .
   finfreedom |   .0175491          .        .       .            .           .
          inf |   .0002889          .        .       .            .           .
domesticcre~g |  -.0033354          .        .       .            .           .
          nim |   .0192234          .        .       .            .           .
              |
         year |
        2005  |          0  (empty)
        2006  |   1.110573          .        .       .            .           .
        2007  |   .9169593          .        .       .            .           .
        2008  |   .6512813          .        .       .            .           .
        2009  |   .6121598          .        .       .            .           .
        2010  |  -.0367273          .        .       .            .           .
        2011  |          0  (omitted)
        2012  |          0  (omitted)
        2013  |          0  (omitted)
        2014  |          0  (omitted)
        2015  |          0  (empty)
        2016  |          0  (empty)
        2017  |          0  (empty)
        2018  |          0  (empty)
        2019  |          0  (empty)
              |
    Ownership |
Private Se..  |          0  (omitted)
Public Sec..  |          0  (omitted)
-------------------------------------------------------------------------------

Warning:  variance matrix is nonsymmetric or highly singular

.

[Joao Santos Silva]

Dear Fadi Ansar,

It looks as if you only have two observations per bank; note that the estimator needs T (in your case this is the number of observations per bank) to be large.

Best wishes,

Joao

[Fadi Ansar]

Thankyou @ joao santo silva.In my data my N>T ,but there are more observations on bank rather than two .I am putting my data here

* Example generated by -dataex-. To install: ssc install dataex
clear
input str47 bankname int year float lzscore
"AB BANK LIMITED"                                 2005  2.683962
"AB BANK LIMITED"                                 2006  2.744491
"AB BANK LIMITED"                                 2007   2.70733
"AB BANK LIMITED"                                 2008  2.861389
"AB BANK LIMITED"                                 2009  2.818213
"AB BANK LIMITED"                                 2010 2.8495555
"AB BANK LIMITED"                                 2011  2.832254
"AB BANK LIMITED"                                 2012  2.840113
"AB BANK LIMITED"                                 2013  2.848589
"AB BANK LIMITED"                                 2014  2.805661
"AB BANK LIMITED"                                 2015 2.8007205
"AB BANK LIMITED"                                 2016  2.865572
"AB BANK LIMITED"                                 2017 2.7698474
"AB BANK LIMITED"                                 2018  2.820724
"AB BANK LIMITED"                                 2019 2.9681554
"ABU DHABI COMMERCIAL BANK     "                  2005  2.683962
"ABU DHABI COMMERCIAL BANK     "                  2006  2.744491
"ABU DHABI COMMERCIAL BANK     "                  2007   2.70733
"ABU DHABI COMMERCIAL BANK     "                  2008  2.861389
"ABU DHABI COMMERCIAL BANK     "                  2009  2.818213
"ABU DHABI COMMERCIAL BANK     "                  2010 2.8495555
"ABU DHABI COMMERCIAL BANK     "                  2011  2.832254
"ABU DHABI COMMERCIAL BANK     "                  2012  2.840113
"ABU DHABI COMMERCIAL BANK     "                  2013  2.848589
"ABU DHABI COMMERCIAL BANK     "                  2014  2.805661
"ABU DHABI COMMERCIAL BANK     "                  2015 2.8007205
"ABU DHABI COMMERCIAL BANK     "                  2016  2.865572
"ABU DHABI COMMERCIAL BANK     "                  2017 2.7698474
"ABU DHABI COMMERCIAL BANK     "                  2018  2.820724
"ABU DHABI COMMERCIAL BANK     "                  2019 2.9681554
"ALLAHABAD BANK"                                  2005  2.683962
"ALLAHABAD BANK"                                  2006  2.744491
"ALLAHABAD BANK"                                  2007   2.70733
"ALLAHABAD BANK"                                  2008  2.861389
"ALLAHABAD BANK"                                  2009  2.818213
"ALLAHABAD BANK"                                  2010 2.8495555
"ALLAHABAD BANK"                                  2011  2.832254
"ALLAHABAD BANK"                                  2012  2.840113
"ALLAHABAD BANK"                                  2013  2.848589
"ALLAHABAD BANK"                                  2014  2.805661
"ALLAHABAD BANK"                                  2015 2.8007205
"ALLAHABAD BANK"                                  2016  2.865572
"ALLAHABAD BANK"                                  2017 2.7698474
"ALLAHABAD BANK"                                  2018  2.820724
"ALLAHABAD BANK"                                  2019 2.9681554
"AMERICAN EXPRESS BANKING CORP."                  2005  2.683962
"AMERICAN EXPRESS BANKING CORP."                  2006  2.744491
"AMERICAN EXPRESS BANKING CORP."                  2007   2.70733
"AMERICAN EXPRESS BANKING CORP."                  2008         .
"AMERICAN EXPRESS BANKING CORP."                  2009         .
"AMERICAN EXPRESS BANKING CORP."                  2010         .
"AMERICAN EXPRESS BANKING CORP."                  2011         .
"AMERICAN EXPRESS BANKING CORP."                  2012         .
"AMERICAN EXPRESS BANKING CORP."                  2013         .
"AMERICAN EXPRESS BANKING CORP."                  2014         .
"AMERICAN EXPRESS BANKING CORP."                  2015         .
"AMERICAN EXPRESS BANKING CORP."                  2016         .
"AMERICAN EXPRESS BANKING CORP."                  2017         .
"AMERICAN EXPRESS BANKING CORP."                  2018         .
"ANDHRA BANK"                                     2005  2.683962
"ANDHRA BANK"                                     2006  2.744491
"ANDHRA BANK"                                     2007   2.70733
"ANDHRA BANK"                                     2008  2.861389
"ANDHRA BANK"                                     2009  2.818213
"ANDHRA BANK"                                     2010 2.8495555
"ANDHRA BANK"                                     2011  2.832254
"ANDHRA BANK"                                     2012  2.840113
"ANDHRA BANK"                                     2013  2.848589
"ANDHRA BANK"                                     2014  2.805661
"ANDHRA BANK"                                     2015 2.8007205
"ANDHRA BANK"                                     2016  2.865572
"ANDHRA BANK"                                     2017 2.7698474
"ANDHRA BANK"                                     2018  2.820724
"ANDHRA BANK"                                     2019 2.9681554
"AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED" 2012  2.840113
"AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED" 2013  2.848589
"AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED" 2014  2.805661
"AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED" 2015 2.8007205
"AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED" 2016  2.865572
"AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED" 2017 2.7698474
"AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED" 2018  2.820724
"AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED" 2019 2.9681554
"AXIS BANK"                                       2005  2.683962
"AXIS BANK"                                       2006  2.744491
"AXIS BANK"                                       2007   2.70733
"AXIS BANK"                                       2008  2.861389
"AXIS BANK"                                       2009  2.818213
"AXIS BANK"                                       2010 2.8495555
"AXIS BANK"                                       2011  2.832254
"AXIS BANK"                                       2012  2.840113
"AXIS BANK"                                       2013  2.848589
"AXIS BANK"                                       2014  2.805661
"AXIS BANK"                                       2015 2.8007205
"AXIS BANK"                                       2016  2.865572
"AXIS BANK"                                       2017 2.7698474
"AXIS BANK"                                       2018  2.820724
"AXIS BANK"                                       2019 2.9681554
"BANDHAN BANK LIMITED"                            2016  2.865572
"BANDHAN BANK LIMITED"                            2017 2.7698474
"BANDHAN BANK LIMITED"                            2018  2.820724
end
format %ty year

will any other command work in this or is there any way I can proceed with the panel quantile regression

[Joao Santos Silva]

Dear Fadi Ansar,

I see that for some banks you have as little as 3 observations. Do you get the same problem if you only use data for banks for which you have at least 10 observations? You can also try the command mmqreg, which implements the same estimator.

Best wishes,

Joao

[Fadi Ansar]

Thankyou so much again.I am having another query when I was ran the xtqreg command with out fixed effects my results are significant and while incorporating it is not significant.Can I use qregpd command instead of xtqreg. qreg command is used only for non panel data and if i use it for panel data will it be appropriate

[Joao Santos Silva]

Dear Fadi Ansar,

It is natural that the significance changes when you add fixed effects; variables with little time variation ate likely to become insignificant. That is the nature of fixed effects estimators.

Feel free to use qregpd, but it estimates a very different model. If you decide to use it, make sure you understand what you are doing because it is not easy to interpret the estimator and its results, at least for those who have standard fixed effects models in mind.

qreg does not allow you to cluster standard errors, so I suggest you use qreg2 instead.

Best wishes,

Joao

[Fadi Ansar]

Thankyou Joao Santos Silva for your clear explanation .I have tried with qreg2 command as well but the not able to use cluster option but qreg command is working with cluster option.I read somewhere that qreg2 is the command which is used for pooled quantile regression.

 qreg2 lNewzcore dnewcallmoney hhi_asset_aggregate boone_ind lasset capitalratio liquidityratio c
> bt gdp nim inf,vce(robust) quantile(.9)
option vce() not allowed
r(198);

Thanks in advance

[Joao Santos Silva]

Dear Fadi Ansar,

qreg2 allows clustering, but you are not using it correctly. Please check the help file.

Best wishes,

Joao