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Estimation of quantile regressions with fixed effects

Fernando Rios-Avila et al.

Stata Journal2026https://doi.org/10.1177/1536867x261425793article
AJG 2
Weight
0.50

What the paper says

In this article, we introduce two new commands, qregfe and qregplot , that are designed for fitting and visualizing quantile regression models with fixed effects. qregfe provides a unified syntax for implementing three panel-data estimators that are commonly used in empirical research: 1) the correlated random-effects specification of Abrevaya and Dahl (2008, Journal of Business and Economic Statistics 26: 379–397); 2) the two-step location-shift estimator of Canay (2011, Econometrics Journal 14: 368–386); and 3) the method of moments quantile regression approach of Machado and Santos Silva (2019, Journal of Econometrics 213: 145–173). The companion command qregplot produces coefficient–quantile plots, allowing researchers to visualize how the coefficients of each covariate change across the outcome conditional distribution.

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https://doi.org/https://doi.org/10.1177/1536867x261425793

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@article{fernando2026,
  title        = {{Estimation of quantile regressions with fixed effects}},
  author       = {Fernando Rios-Avila et al.},
  journal      = {Stata Journal},
  year         = {2026},
  doi          = {https://doi.org/https://doi.org/10.1177/1536867x261425793},
}

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Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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