Dear Statalisters
I am attempting to estimate a quantile regression model with many (over 100) geographic fixed effects. My initial attempt at estimation was to just include group indicator dummies. The drawback to this approach is computational cost: it takes several hours for the model to run.
As the group fixed effects are of no interest in the study, I was thinking of performing the group-wise within transformation on the data, then implementing qreg. As I am new to quantile regression, however, I was unsure as to whether or not this is valid. Is anyone aware of other studies that have faced this issue or methodological papers that address a clustering structure in cross-sectional quantile regression?
Any information is greatly appreciated.
Tom
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