Article(electronic)October 5, 2021

Flexible and fast estimation of quantile treatment effects: The rqr and rqrplot commands

Borgen, Nicolai; Haupt, Andreas; Wiborg, Øyvind

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Abstract

Using quantile regression models to estimate quantile treatment effects is becoming increasingly popular. This paper introduces the rqr command that can be used to estimate residualized quantile regression (RQR) coefficients and the rqrplot postestimation command that can be used to effortless plot the coefficients. The main advantages of the rqr command compared to other Stata commands that estimate (unconditional) quantile treatment effects are that it can include high-dimensional fixed effects and that it is considerably faster than the other commands.

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