New version of mmqreg on SSC (v2.5) -- adds version statement and ships polished mmqregplot companion

[Merwan Roudane]

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
------------

.
ssc install mmqreg, replace

or, for users who already have it installed:

. 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)

[Sarah Lyu]

Dear Merwan Roudane,
Hope you are doing well. Thank you very much for your excellent contributions. However, I encountered a few issues while using them and would greatly appreciate it if you could help me clarify them.

My regression is based on -mmqreg- with option jknife. When I estimate -mmqreg- with the jknife option, the coefficients shown in the -mmqregplot- figure do not appear to match the corresponding coefficients in the regression results. So I am not sure whether these are issues with my usage or potential areas for improvement, I noticed two points that might be worth considering:

1. In -mmqregplot-, if users only want to obtain the quantile graph (only one variable), it seems that they need to add the keepgraphs option to keep the graphs. It might be useful to have a more straightforward way to retain the graphs.
2. In -mmqregplot-, when I estimate the regression using the jknife option, the coefficient values displayed in the graph appear to differ from the coefficient estimates reported in the regression results. I am not sure whether this is intended behavior or a potential issue with the plotting command.
   [Note: You can use the codes below to reproduce and check these issues.]

========================
codes:

webuse nlswork, clear
xtset idcode year

mmqreg ln_w age ttl_exp tenure not_smsa south, q(25 50 75) absorb(idcode year) robust jknife          
qregplot age
mmqregplot age    //the graph dropped        
mmqregplot age, keepgraphs     //option [keepgraphs] can keep the graph   
 
========================

-mmqreg-

-mmqregplot-

-qregplot-