iqreg

Stata sg70: Interquantile and simultaneous-quantile regression. iqreg estimates interquantile range regressions, regressions of the difference in quantiles. If the quantile option is not specified, the default is the interquartile range. The estimated variance-covariance matrix of the estimators (VCE) is obtained via bootstrapping. sqreg estimates quantile regressions. It produces the same coefficients as qreg would produce were each quantile estimated separately. Reported standard errors will be similar, the difference being that sqreg obtains an estimate of the VCE via bootstrapping rather than the analytical formula. (In this sense, sqreg is similar to bsqreg, the bootstrapped variation of qreg.) sqreg differs from qreg (and bsqreg) in that it can estimate results for multiple quantiles simultaneously, meaning that the calculated VCE includes between-quantiles blocks. Thus, one can test and construct confidence intervals comparing coefficients describing different quantiles.

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