GMM Quantile regression

[Anuradha Saikia]

How to perform GMM Quantile regression in Stata?

[FernandoRios]

Xtqreg and mmqreg estimate one version of qreg via method of moments, both based of the work by Machado and Santos-Silva

[Anuradha Saikia]

Thank you FernandoRios .will this code also work . (for example)
qregpd ln_wage tenure union l_ln_wage, id(idcode) fix(year)

[Anuradha Saikia]

Also I am getting this error.
code:
mmqreg ROA c.DTTA#i.InsDistancedummy LEV HHI GDPpercapita Size Age, abs(Companynum)

_i___0b__InsDistancedummy_X_c__DT invalid name
st_addvar(): 3300 argument out of range
map_solve(): - function returned error
<istmt>: - function returned error

[FernandoRios]

The variable name is too long
shorten it and try again

[Atif Awad]

Hello every one
I need help when running mmqreg, I get the following


mmqreg dlefp dleci dlre , q(25 75)

mmqreg_vce1(): 3200 conformability error
<istmt>: - function returned error
r(3200);

[Joao Santos Silva]

Dear Atif Awad

While you wait for FernandoRios response, please try using xtqreg instead, which implements the same estimator.

Best wishes,

Joao

[Atif Awad]

Dear Silva
Many thanks, working well with the xtqreg .
Regards

[FernandoRios]

Dear Atif
Im glad it worked with xtqreg. BUt, for my own work and bug catching. Do you mind sending me your data? I would like to go deeper into the program to figure out why you got that error
Thank you!