This module can be used if you are estimating quantile regression or Quantile ARDL in time series data. Since data do not have Quantile ADF test, this tutorial estimate ADF unit root test on different quantile positions and then plot its variations.
You can see tutorial at: https://youtu.be/hCBiHQN6-PE
clear
use “C:\Users\LENOVO\Desktop\quantile PMG model\quantile on quantile on stata\data.dta”
tsset time
xtile mal_group = mal, nq(100)
capture postutil clear
tempfile holding
postfile handle quantile test prob using `holding’
forvalues i = 1/19 {
local tau_indep = `i’ *5
dfuller mal if mal_group < `tau_indep’, lags(0)
local test = r(Zt)
local prob = r(p)
display “At quantile value: ” `tau_indep’ ” test statistic: ” `test’ ” & p value: ” `prob’
post handle (`tau_indep’) (r(Zt)) (r(p))
}
postclose handle
use `holding’, clear
twoway (line test quantile) (line prob quantile, yaxis(2)), ytitle(Test Value) xtitle(Quantile Positions of Variable) title(Quantilewise ADF Unit Root Test) scheme(sj)