*! version 1.0.0 16may2026

Title

mqqr -- Multivariate Quantile-on-Quantile Regression

Syntax

mqqr depvar indepvars [if] [in] [, options]

tau(numlist) τ grid (default 0.05(0.05)0.95)

theta(numlist) θ grid (default 0.05(0.05)0.95)

pivot(varname) variable that drives the (τ,θ) grid (default: first regressor)

bandwidth(#) kernel bandwidth (default Silverman)

saving(filename) save long-format results .dta

replace overwrite existing file

noprogress suppress progress

Description

mqqr extends the Sim-Zhou QQR to multiple regressors. For each (τ, θ)
pair, all regressors are centred at their θ-quantile and a locally-weighted
quantile regression is fit using kernel weights on the empirical CDF of the
pivot variable.

Saved dataset format

Long-format columns: tau theta variable coef se t p.

Example

. mqqr co2 gdp energy ict urban, pivot(gdp) saving(mqq.dta) replace

. qqheat using mqq.dta, value(coef) variable(gdp) colormap(viridis)

. qqheat using mqq.dta, value(coef) variable(energy) colormap(parula)

See also

qqr, qqheat, qqtable