面板分位数回归的stata包需要在stata14平台跑
ssc install xtqreg
ssc install esttab
findit esttab

esttab,outreg2如上述命令在线无法安装，下载附件的包，手动安装在stata1*/ado/plus/....
help xtqreg

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Title

       xtqreg -- Quantile regression with fixed effects


Syntax


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


    options                    Description
    --------------------------------------------------------------------------

      quantile(#[#[# ...]])    estimate # quantile; default is quantile(.5)

      id                       specifies the variable defining the panel

      ls                       displays the estimates of the location and
                                 scale parameters

Description

    xtqreg estimates quantile regressions with fixed effects using the method
    of Machado and Santos Silva (2019).



Options

    quantile(#[#[# ...]]) specifies the quantile to be estimated and should be
        a number strictly between 0 and 1. The default value of 0.5
        corresponds to the median.  The quantiles can be specified as a list,
        in which case the regression will be estimated for each quantile.

    id(panelvar) specifies that the variable defining the panel is panelvar.

    ls displays the estimates of the location and scale parameters


Remarks

    xtqreg was written by J.A.F. Machado and J.M.C. Santos Silva and it is not
    an official Stata command; we are grateful to Fernando Rios-Avila for help
    writing this command.  For further help and support, please contact
    jmcss@surrey.ac.uk. Please notice that this software is provided as is,
    without warranty of any kind, express or implied, including but not
    limited to the warranties of merchantability, fitness for a particular
    purpose and noninfringement.  In no event shall the authors be liable for
    any claim, damages or other liability, whether in an action of contract,
    tort or otherwise, arising from, out of or in connection with the software
    or the use or other dealings in the software.


Examples

    ----------------------------------------------------------------------------
    Setup
        . sysuse auto

    Median regression with fixed effects for headroom
        . xtqreg price weight length i.foreign, i(headroom)

    Estimate .25 quantile with fixed effects for headroom
        . xtqreg price weight length i.foreign, i(headroom) quantile(.25)

    Estimate the nine deciles with fixed effects for headroom
        . xtqreg price weight length i.foreign, i(headroom)
            quantile(.1(0.1)0.9)

    Median regression with fixed effects for headroom reporting the location
    and scale estimates
        . xtqreg price weight length i.foreign, i(headroom) quantile(.25) ls


    ----------------------------------------------------------------------------


Saved results

    When only one quantile is estimated, xtreg saves the following results in
    e():

    Scalars   
      e(N)           number of observations

    Macros   
      e(cmd)         xtqreg
      e(depvar)      name of dependent variable
      e(properties)  b V

    Matrices  
      e(b)           coefficient vector
      e(V)           covariance matrix
      e(q)           estimated quantile of the scaled errors
      e(b_location)  location-coefficients vector
      e(V_location)  location-coefficients covariance matrix
      e(b_scale)     scale-coefficients vector
      e(V_scale)     scale-coefficients covariance matrix


    Functions
      e(sample)      marks estimation sample

    If multiple quantiles are estimated, xtqreg also saves b, V, and q for
    each quantile with names of the form (for the first quartile) e(b_25),
    e(V_25), and e(q_25). In this case, the matrices e(b), e(V), and e(q)
    contain the results for the imated quantile.


References

    Machado, J.A.F. and Santos Silva, J.M.C. (2019), Quantiles via Moments,
        Journal of Econometrics, forthcoming.


Also see

    Manual:  [R] xtreg