Hi, I am trying to estimate a quantile regression with panel data following Ivan A Canay (2011) A simple approach to quantile regression for panel data, Econometrics Journal, volume 14, pp. 368–386. Unlike Koenkar (2004), this paper uses a two stage GMM estimation.
I have estimated once this fixed effect quantile regression with R using Koenkar methodology. But this has a lot of limitations. This is why, this time I am trying this Canay methodology.
Unfortunately I do not find any Stata codes for this, though there are few literatures which report to have done this using Stata. It would be a great help if anybody has any clue where I can find this Stata codes for fixed effect quantile regression following Canay (2011).
Ujjwal Kumar Das
Leeds University Business School, UK
I have estimated once this fixed effect quantile regression with R using Koenkar methodology. But this has a lot of limitations. This is why, this time I am trying this Canay methodology.
Unfortunately I do not find any Stata codes for this, though there are few literatures which report to have done this using Stata. It would be a great help if anybody has any clue where I can find this Stata codes for fixed effect quantile regression following Canay (2011).
Ujjwal Kumar Das
Leeds University Business School, UK