Hi, how do I include these extra statistics in xtqreg:
- I want to add a measure of fit (such as the Pseudo R2 recommended by Koenker)
- The correlation between the error terms and the independent variables (if possible) since I am likely dealing with endogeneity (I am looking at the effect of news on returns), and whether this correlation is significant at 5%, 1% or 0.1%. I would like to show whether endogeneity is present in different parts of my sample, therefore I would like to include a measure (incl significance) that shows whether it is endogenous. I want to include a measure of endogeneity, as I believe this measure to be higher for higher amounts of news or risk based on news.
- Clustering or dummies on a country level (I read something about bootstrapping them but I have not worked with Stata before so not sure how I would have to do that).

Furthermore how do I go about choosing a certain quantile or do I need to include multiple ones? As I mentioned, I am performing the same regression on different parts of my sample (with an if condition). Therefore I would already have a lot of results when just performing one regression per subsample so I would rather have one regression per subsample if possible.

Please note I am not a mathematician so I am looking for some code that is relatively simple to implement.

My code right now looks like this

eststo MYREG1: xtqreg Ret Word2 Art stdevnewsrisk sumweekscoring
esttab . using nome.tex, b(3) replace not unstack compress obs label pr2

But the pr2 is not showing any result and country clustering is not included (yet), I have a categorical variable called Country. And the endogeneity measure still needs to be included and a quantile.

Thanks in advance for your help.