Melly, Blaise (2020). QRPROCESS: Stata module for quantile regression: fast algorithm, pointwise and uniform inference. [Software & Other Digital Items]
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qrprocess.zip - Other Available under License BORIS Standard License. Download (36kB) |
This package offers fast estimation and inference procedures for the linear quantile regression model. First, qrprocess implements new algorithms that are much quicker than the built-in Stata commands, especially when a large number of quantile regressions or bootstrap replications must be estimated. Second, the commands provide analytical estimates of the variance-covariance matrix of the coefficients for several quantile regressions allowing for weights, clustering and stratification. Third, in addition to traditional pointwise confidence intervals, this command also provides functional confidence bands and tests of functional hypotheses. Fourth, predict called after qrprocess can generate monotone estimates of the conditional quantile and distribution functions obtained by rearrangement. Fifth, the new command plotprocess conveniently plots the estimated coefficients with their confidence intervals and uniform bands.
Item Type: |
Software & Other Digital Items |
|---|---|
Division/Institute: |
03 Faculty of Business, Economics and Social Sciences > Department of Economics |
UniBE Contributor: |
Melly, Blaise Stéphane |
Subjects: |
300 Social sciences, sociology & anthropology > 330 Economics |
Publisher: |
Statistical Software Components, Boston College |
Language: |
French |
Submitter: |
Blaise Stéphane Melly |
Date Deposited: |
31 May 2021 11:04 |
Last Modified: |
05 Dec 2022 15:50 |
BORIS DOI: |
10.48350/155198 |
URI: |
https://boris.unibe.ch/id/eprint/155198 |
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