Quantile regression for panel data

[Nermine Medhioub]

Hello everyone, I want to know please what is the command in Stata for running quantile regression for panel data

[FernandoRios]

Xtqreg is one option

[Nermine Medhioub]

@FernandoRios Xtqreg isn't for fixed effect? I also found qregpd. I am confused

[Joao Santos Silva]

Dear Nermine Medhioub,

As Fernando said, xtqreg estimates quantile regressions for panel data and it, indeed, includes fixed effects. (See also mmqr, which implements the same estimator and allows fixed effects.) In contrast, qregpd estimates a very different model that does not include fixed effects.

Best wishes,

Joao

[Nermine Medhioub]

thank you @Joao Santos Silva, but I want to know which command should I use?, I mean it depends on what exactly

[Joao Santos Silva]

If you want to estimate quantiles with fixed effects, I recommend you try xtqreg or mmqr, they should give you the same results, but have different functionalities.