Dear All, How can I test coefficients equality across different quantiles using xtqreg (Please install xtqreg).
Code:
webuse grunfeld, clear

xtset company year

xtqreg invest mvalue kstock, quantile(.25)
xtqreg invest mvalue kstock, quantile(.75)
In particular, I'd like to know if the estimate of mvalue when q=0.25 (quantile(.25)) is equal to the estimate of mvalue when q=0.75 (quantile(.75)). Any suggestion is appreciated.