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The Stata Journal
Volume 16 Number 2: pp. 403-415

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Fixed effects in unconditional quantile regression

Nicolai T. Borgen
Department of Sociology and Human Geography
University of Oslo
Oslo, Norway
Abstract.  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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