Fixed effects in unconditional quantile regression
Nicolai T. Borgen
Department of Sociology and Human Geography
University of Oslo
Oslo, Norway
[email protected]
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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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Nicolai T. Borgen
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xtrifreg, unconditional quantile regression, fixed effects
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