Any advice on Quantile Panel Data Regression in EVIEWs?

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Chun-Da Chen

Hi Jasman,

I usually use RATS and also understand quantile regression but I have EViews 7.0 only.

Chunda

Imran, M.,

Dear Jasman Tuyon, This link may be helpful for you..

samples.sainsburysebooks.co.uk/9781118715574_sample_409696.pdf

Dominique Desbois

You can get some details in browsing the devoted chapter of the help of the Eviews release 9 :

http://www.eviews.com/help/helpintro.html#page/EViews%25209%2520Help%2Fquantreg.044.1.html%23

and into the devoted Eviews Forum :

http://forums.eviews.com/viewtopic.php?f=6&t=9632

But it would be perhaps unsufficient for your application of quantile regression

Wikipedia provides an introduction to Quantile Regression (QR) with useful references, including those on the various packages where QR is implemented, at :

https://en.wikipedia.org/wiki/Quantile_regression

You can find an example of a QR research application with Eviews, for estimating confidence intervals for price forecasts in agricultural commodities

with the following paper by Isengildina-Massa, Irwin, and Good, 2008 :

http://ageconsearch.umn.edu/bitstream/6409/2/469246.pdf

In addition, you can find the theory of quantile regression for panel data and Monte Carlo simulation results in the following paper :

Robust penalized quantile regression estimation for panel dataI

by Carlos Lamarche, Journal of Econometrics, 157 (2010) 396408.

doi:10.1016/j.jeconom.2010.03.042

Carlos Lamarche has been a Roger Koenker's PhD student.