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st: Package MCMCCQREG up on SSC

From   Matthew Baker <>
Subject   st: Package MCMCCQREG up on SSC
Date   Tue, 4 Jun 2013 12:39:01 -0400

Dear all --

Once again due to Kit Baum, a new package/stata command - mcmccqreg -
is now available on SSC. Details follow!


Matt Baker

Description: mcmccqreg can be used to "fit" Powell's (1984, 1986)
censored quantile regression model(s) using adaptive Markov chain
Monte Carlo simulation. More precisely, mcmccqreg produces draws from
the parameter distribution implied by the objective function, and then
presents summary
statistics describing the results of the draws. Detailed analysis of
the draws is left to the user. Implementation details are discussed in
Baker (2013), and the general theory in Chernozhukov and Hong (2003).

KW: Adaptive Markov chain Monte Carlo
KW: Censored quantile regression
KW: Median estimator

Requires: Stata version 11.2
Requires: package moremata
Requires: package amcmc


Baker, M. J. 2013. Adaptive Markov chain Monte Carlo sampling and
estimation in Mata. Hunter College Department of Economics Working
Papers 440.

Chernozhukov, V. and H. Hong. 2003. An MCMC approach to classical estimation.
Journal of Econometrics 115, 293-346.

Powell, J. L. 1984. Least absolute deviations estimation for the
censored regression model
Journal of Econometrics 25, 303-25.

Powell, J. L. 1986. Censored regression quantiles. Journal of
Econometrics 32, 143-55.

Author: Matthew J. Baker, Hunter College and the Graduate Center, CUNY

Dr. Matthew J. Baker
Department of Economics
Hunter College and the Graduate Center, CUNY
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