*! version 1.0 Fernando Rios-Avila July 2019
help uqreg

Title

uqreg -- Unconditional quantile regression estimator

Syntax

uqreg depvar [indepvars] [if] [in] [weight], q(#p)
method(str) [bw(#) kernel(kernel) method_options
noisily]

* q(#p) specify the #pth unconditional quantile to be estimated

* method(str) indicate which method will be used to estimate
the unconditional quantile regression (UQR); see examples below

bw(#) kernel(kernel) specify the bandwidth function, kernel
function, or both that will be used to estimate the density function; defaults are
kernel(gaussian) and Silverman plugin bandwidth

method_options specify any options appropriate with
the method selected; see examples below

noisily display preliminary steps

* q() and method() are required.

aweights, fweights, iweights, and pweights can be used
depending on the methods chosen; see weight.

Description

uqreg can be used exclusively for the estimation of UQR, which are the
most popular application of recentered influence function (RIF) regressions.

As described in Firpo, Fortin, and Lemieux (2009), because the only element of
the quantile RIF that varies across observations is a binary variable that
indicates if an observation is above or below any given quantile, any linear
or binomial model can be used to estimate UQR.

In the case of RIF ordinary least squares, as performed when using
rifhdreg, one is essentially using a linear probability model to model
this binary variable, whereas a binomial model may be more appropriate.

While in practice, a linear probability model can perform well for the
estimation of average treatment effects, one can use uqreg to compare
the results with other model specifications as long as average marginal
effects can be estimated using the margins command.

By default, the command output provides only point estimates of average
treatment effects, which in the framework of UQR can be interpreted as
unconditional partial effects. Standard errors can be estimated using
resampling methods with the bootstrap prefix.

Examples

. use http://fmwww.bc.edu/RePEc/bocode/o/oaxaca.dta

Verify that reghdfe is installed and compiled in your computer. If
already installed, this step can be skipped.

. ssc install reghdfe, replace

. reghdfe, compile

. generate wage=exp(lnwage)

RIF regression for the 10th, 50th, and 90th quantiles.

Method: regress

. uqreg lnwage educ exper tenure, q(10) method(regress)

. uqreg lnwage educ exper tenure, q(50) method(regress)

. uqreg lnwage educ exper tenure, q(90) method(regress)

Method: reghdfe

. uqreg lnwage educ exper tenure, q(10) method(reghdfe) abs(age)

. uqreg lnwage educ exper tenure, q(50) method(reghdfe) abs(age)

. uqreg lnwage educ exper tenure, q(90) method(reghdfe) abs(age)

Method: logit

. uqreg lnwage educ exper tenure, q(10) method(logit)

. uqreg lnwage educ exper tenure, q(50) method(logit)

. uqreg lnwage educ exper tenure, q(90) method(logit)

Method: probit

. uqreg lnwage educ exper tenure, q(10) method(probit)

. uqreg lnwage educ exper tenure, q(50) method(probit)

. uqreg lnwage educ exper tenure, q(90) method(probit)

Method: cloglog

. uqreg lnwage educ exper tenure, q(10) method(cloglog)

. uqreg lnwage educ exper tenure, q(50) method(cloglog)

. uqreg lnwage educ exper tenure, q(90) method(cloglog)

Method: hetprobit

. uqreg lnwage educ exper tenure, q(10) method(hetprobit) het(educ exper tenure)

. uqreg lnwage educ exper tenure, q(50) method(hetprobit) het(educ exper tenure)

. uqreg lnwage educ exper tenure, q(90) method(hetprobit) het(educ exper tenure)

References

Firpo, S., N. M. Fortin, and T. Lemieux. 2009. Unconditional quantile
regressions. Econometrica 77: 953-973.
https://doi.org/10.3982/ECTA6822.

Rios-Avila, F. 2020. Recentered influence functions (RIFs) in Stata: RIF regression and RIF decomposition.
Stata Journal, 20(1), 51-94. https://doi.org/10.1177/1536867X20909690.

Acknowledgments

This is a standalone command, and it does not depend on rifvar().
An intuitive description of RIF regressions is provided in Rios-Avila (2019).

All errors are my own.

Author

Fernando Rios-Avila

Levy Economics Institute of Bard College

Annandale-on-Hudson, NY

friosavi@levy.org

Also see

Help: rifhdreg, oaxaca_rif, rifvar(),
hvar(), rifreg, rifsureg (if installed)