https://www.stata.com/features/overview/quantile-regression/

https://www.stata.com/manuals13/rqreg.pdf

The R package quantreg does a great job with quantile regression.

https://data.library.virginia.edu/getting-started-with-quantile-regression/

Dear Cristian Ramos-Vera,

Thanks for your response!

The link you provided is about Quantile Regression. However, I was interested in QQ (quantile-on-quantile) regression.

Regards

Can you provide some papers on QQ regression? What is the difference between this and quantile regression?

Dear Tihana Škrinjarić

Appreciate your interest in QQ regression.

As far as I know, Quantile regression is a linear function, whereas quantile-on-quantile regression is a nonlinear function. Another, major difference is that quantile regression is a regression of the quantile of dependent variable on the independent variables, whereas, QQ regression is a regression of a quantile of dependent variable on the quantile of independent variables.

I attach herewith a research paper based on QQ regression.

Dear Robert Moulder

Thank you for the response.

You stated that the R package quantreg does a great job with quantile regression. Could you please confirm that it does Quantile-on-Quantile Regression?

Best Regards

Great!

Has anyone gotten the code to qunatile on quantile regression yet.. Preferably a MATLAB or R code

Stata provides a command to conduct quantile regression easily (qreg command).

you can run the regression at different quantiles from 0.10 to 0.90.

you can also test heteroskedasticity via qreg2 command.

https://www.stata.com/manuals13/rqreg.pdf

for panel data (xtqreg command)

https://www.stata.com/meeting/uk19/slides/uk19_santos.pdf

Can the Quantile on Quantile Regression be done on Eviews?

As far as I know, you can only do the quantile on quantile regression in R, generate the quantile matrix and plot the 3D graph in MATLAB..

Thanks for the quick response

Dear Hamid Muili,

Can you share the codes to generate the quantile matrix and plot the 3D graph in MATLAB?

Thanks

Better to do analysis with Eviews.

Sharing...

https://www.stata.com/manuals13/rqreg.pdf

https://www.stata.com/meeting/uk19/slides/uk19_santos.pdf

@ Abdul Rehman, have u done it in eviews before. Kindly share the procedure.

@Melain Modeste Senou, I think that's for quantile regression in stata.although, its still the same function that's used for quantile on quantile in R too, but it requires some little tweaking...

Dear Abdul Rehman, thanks for sharing by the way the question is about the Quantile-on-Quantile model, not Quantile regression.

Well noted, Muhammad Tariq, thanks.

Quantile-on-Quantile regression for two variables a and b is carried out in two steps:

Step 1: First, estimate the slope coefficients for q(a) x q(b) quantiles in R, as all the quantile combinations will be considered as separate datasets. Once estimated, store them in a .csv file.

Step 2: In Matlab, assign all those slope values to a single variable, and plot is against q(a) and q(b) quantiles to generate a 3D image of the estimation results

So, basically Sim and Zhou (2015) QQR test is conducted using both R and Matlab. By far, codes of this test is neither available in Stata, nor in Eviews. The codes available in both these statistical packages are of Quantile Regression (QR), not Quantile-on-Quantile regression (QQR).

I believe, I have cleared your doubts.