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st: Quantile regression with fixed effects and first differences


From   Nick K <coffeemug.nick@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Quantile regression with fixed effects and first differences
Date   Mon, 9 May 2011 12:15:11 +0200

Hi,

I've been battling with this issue for ages and can't seem to get it to work.

I need to do a median regression with both time and individual fixed
effects, and the dependent variable is in first differences.

I've tried using xi:qreg .... i.year, etc., but the individual fixed
effects would give me > 25,000 dummies which Stata/my PC can't handle.

I think I've solved the first difference issue by manually doing it:
gen fDepVar = d.DepVar, but the fixed effects are killing me!

Thanks
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