Thanks to Kit Baum, an update of the -mmqreg- package (originally
by Fernando Rios-Avila) is now available from SSC, as v2.5.
-mmqreg- estimates quantile regressions via the Method of Moments
approach of Machado and Santos Silva (2019). Version 2.4
(released last week) added a "jknife" option implementing the
decomposed split-panel jackknife bias correction for short
panels, and a companion plot command -mmqregplot-.
WHAT'S NEW IN v2.5
------------------
1. Explicit "version 13" statement added to both mmqreg.ado and
mmqregplot.ado. (Thanks to Kit for catching that v2.4 was
relying on the caller's current version setting.)
2. -mmqregplot- has been polished significantly (now mmqregplot
v2.1):
- Bug fix. The previous version produced a conformability
error (r(503)) on multi-quantile plots after the per-
quantile loop completed. The qtile path is now computed
in a single multi-quantile -mmqreg- call (q(numlist) nols)
and the plot reads e(b) once, locating each (quantile,
variable) entry by matching (coleq, colname). No more
row-stacking, no metadata loss. About 17x faster on a
17-point quantile grid as a side benefit.
- Two small pre-existing bugs fixed: a duplicate "replace"
in the location/scale sub-routine call (r(198)), and a
misspelled "nopts()" option in the histogram-KDE feplot
branch (should be "normopts()", r(198)).
- New options for display and disk-saving:
showall -- draw every panel as its own named graph
(no hidden nodraw), with a final combined
summary as the last graph
keepgraphs -- keep individual panels in memory after
combining
nocombine -- skip the graph combine step entirely
saving(prefix) -- save every panel plus the combined
figure as .gph files
gformat(formats) -- additionally export to png, pdf, eps,
jpg, etc.
- All panels are now issued as named graphs:
mmqp1, mmqp2, ... -- quantile-path panels (one per var)
mmqloc -- location coefplot
mmqsca -- scale coefplot
mmqfe -- fixed-effects panel
mmqcombined -- final combined figure
so users can revisit or re-export any panel after the fact
(e.g. -graph display mmqloc-).
- absorb() is rebuilt from e(fevlist) automatically, so the
plotted path matches the user's actual FE-absorbed model.
3. Updated help files. -help mmqregplot- now documents the full
option set, the named-graph convention, and disk-saving usage,
with new worked examples.
INSTALLATION
------------
Code:
. ssc install mmqreg, replace
. adoupdate mmqreg, update
To see the new features in action:
. webuse nlswork, clear
. xtset idcode year
. mmqreg ln_w age ttl_exp tenure not_smsa south, ///
absorb(idcode) q(25 50 75) jknife
. mmqregplot age ttl_exp tenure, quantile(10(10)90) ///
ols label showall saving("wage_qpath") gformat(png)
BACKWARD COMPATIBILITY
----------------------
All v2.4 (and v2.3) syntax and behavior is preserved. The new
mmqregplot options and the "version 13" statement are additive.
REFERENCES
----------
Dhaene, G. and Jochmans, K. (2015). Split-panel jackknife
estimation of fixed-effect models. Review of Economic Studies,
82(3), 991-1030.
Machado, J.A.F. and Santos Silva, J.M.C. (2019). Quantiles via
moments. Journal of Econometrics, 213(1), 145-173.
Feedback and bug reports are very welcome.
Best regards,
Dr Merwan Roudane
Researcher in Applied Econometrics
[email protected]
(in collaboration with Fernando Rios-Avila, [email protected],
original mmqreg author, Levy Economics Institute)
