Fixed effects in unconditional quantile regression

by Nicolai Topstad Borgen

journal cover

Stata Journal


Borgen, Nicolai Topstad. "Fixed effects in unconditional quantile regression." Stata Journal, 2016. Vol.16(2), pp.403-415

ISSN: 1536-867X


Unconditional quantile regression has quickly become popular after being introduced by Firpo, Fortin, and Lemieux (2009, Econometrica 77: 953–973) and is easily implemented using the user-written command rifreg by the same authors.

However, including high-dimensional fixed effects in rifreg is quite burdensome and sometimes even impossible. In this article, I show that when the number of fixed effects is large, the computational speed is massively increased by using xtreg rather than regress to fit the unconditional quantile regression models.

I also introduce the xtrifreg command, which should be considered a supplement to rifreg. The xtrifreg command has many of the same features as rifreg but can be used to include a large number of fixed effects, to estimate cluster–robust standard errors, and to estimate cluster–bootstrapped standard errors.

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Published Nov. 15, 2016 10:43 AM - Last modified Nov. 15, 2016 10:44 AM