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  • Penalized Quantile Regression with Fixed Effects.

    Hello everyone,

    I am reading the paper by Koener (2004) (https://www.sciencedirect.com/scienc...47259X04001113), which mentions "Quantile Regressions with Fixed-Effects" and "Penalized Quantile Regressions with Fixed-Effects." I have done some searching and see that there are two Stata commands related to Quantile Regressions with Panel data: -xtqreg- and -qregpd-. I have read the documents related to these two commands and see that each of them deals with fixed effects differently. However, I am not sure which one of those is related to "Penalized Quantile Regressions with Fixed-Effects." I have also searched the Stata command for this particular "Penalized Quantile Regressions with Fixed-Effects", but I could not find anything. Could anyone who has done or has more experience in this model please help me with this?

    Moreover, if I am interested in the impact of genders, would I be able to use -xtqreg- and -qregpd-? I have tried the codes and see that it is not feasible; however, I just want to confirm it with the experts here.

    Thank you, everyone, in advance.
    Last edited by Duy To; 28 Aug 2023, 17:07.

  • #2
    Can you tell more about your data? Why did you say is not feasible ?
    in any case neither is associated to penalized qreg.
    xtqreg adresses individual fixed effects by assuming a scale location qreg model, and Adds fixed effect to the two components
    qregpd instead used individual groups to control the errros distribution only
    hth
    Fernando

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    • #3
      Hi Fernando,

      It is not feasible in terms of the coefficient of the binary variable for gender is not estimated. It is like when you use, for example, -xtreg log_wage age female, fe- the variable female gets dropped. That is what I meant.

      Do you know any STATA command that is associated with Penalised Quantile Regression? Thank you

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      • #4
        There isn’t
        perhaps what you could do is mundlack approach
        check the slides of this year Stata conference proceedings

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