Quantile Regression Coefficients for an entire series

[Sharma Nikita]

I wanted to know if we use rangestat command to generate quantile regression coefficients for a series? If not, what is the command to use quantile regression and get estimated betas for an entire series, just like we get when we use: rangestat (reg) SharePrice Marketreturn , by( BankName ) interval( Time -35 -1)?

[Clyde Schechter]

No, -rangestat- only does descriptive statistics an simple linear regressions. You will need to look into -rangerun-, by Robert Picard, and available from SSC. Using -rangerun- is a bit more complicated than -rangestat- and will require you to wrap the commands you want in a program. Fortunately, the help file is well written and has copious examples.

[Sharma Nikita]

Thank you so much Clyde Schechter sir, for clarifying the doubt.