Model Estimation and Data Analysis: Quantile Regression

QREG and QCREG Models

  • Linear index model for continuous quantile regression – QREG
    • Bootstrapped standard errors
    • Estimation for any quantile
    • Least absolute deviations for median regression
  • Poisson model for count data quantile regression – QCREG
    • Analytic standard errors
    • Partial effects
    • Multiple quantiles in a single estimation pass
    • Noise reduction in simulation based estimation

Estimation and Inference

  • Linear programming for QREG
  • Loglinear maximum likelihood with simulation for QCREG