Bootstrapping for Panel Data Quantile Regression

[Renata Benicio]

Dear Statalists,

I'd appreciate if you could tell me which command I should use to run a quantile regression for panel data FE using bootstrap.
So far, I only know hot to run the model using the qregpd and I'm applying the following command:

qregpd CRS X1 X2 X3 X4 X5 X6, id(id) fix(year) optimize(mcmc) noisy draws(1000) burn(100) arate(.5) quantile (25)


Thanks in advance!

[FernandoRios]

Hi Renata
First of all, Not all commands do the same kind of estimation.
qregpd, for example, doesn't really control for fixed effects as we are used to (adding dummies for example), but rather controls for them as if controlling for the distribution of the fixed effects.

Now, Machado and Santos Silva (2019) https://www.sciencedirect.com/scienc...04407619300648
does suggest an option for Qregressions with panel data that is easy to understand.

He implements this with -xtqreg- available from SSC

I also have the command -mmqreg- (also from ssc) that allows for multiple fixed effects.

You should be able to use the prefix bootstrap in both commands
HTH

Fernando

[Joao Santos Silva]

Dear Renata Benicio,

Adding to Fernando's helpful advice, you can see an example of how to use bootstrap in this context (and how to implement a jackknife correction) here.

Best wishes,

Joao

[Renata Benicio]

Thanks FernandoRios thanks for the advice! I'll check it out!

Joao Santos Silva Thanks! that example is very useful. I'll try to adapt to my data

[kwenga loic]

Hello @Joao Santos Silva , @FernandoRios
I'm trying to do the same thing but I don't know much about code, a do-file would be more useful

[Joao Santos Silva]

In #3 I provide a link to a do file.

[kwenga loic]

In my reading I understood that the Bootstrap is more sophisticated than the jackknife it would be my pleasure to have one with the Bootstrap method itself
Best regards

[Joao Santos Silva]

Check the line stating with

 
 qui bs

[kwenga loic]

to apply this for my data set do i just have to change variables name?

[kwenga loic]

please Sir what does the code actually do

[Joao Santos Silva]

Please see the help file for the bs (bootstrap) command.

[kwenga loic]

what the code really does

[kwenga loic]

to apply this for my data set do i just have to change variables name?

what about this ?

[kwenga loic]

Good Morning sir i run That command and i got that i dont why ! thanks for help

[Joao Santos Silva]

Please send me your data and code by email and I'll check it.