Hi

I am trying to do qreg of x variables on Y. one of my X(Return ID-1) variable is a part of the Y variable(which is the sum of all returns of the IDs) in the panel. when I run using command:

qreg Y(Returns of all IDs) X(Return ID-1) X2 X3 X4, q(0.05),

I get the message:
convergence not achieved.
VCE computation failed; try increasing the maximum number of iterations or try bsqreg
r(498);

I tries bsqreg, it is also not working.

If I drop Xi1, the resuts are achieved.

Can anyone help how to resolve this?

Kind Regards