I have a quantile regression in Stata which I'd like to replicate in eViews. While the coefficients are the same, the standard errors are different (irrespective of the method I use to compute the covariance matrix).

In Stata I use default options, while I've varied the cov-option in eViews.

The commands are:

Stata -> qreg dependent.variable independent.variables, quantile(.9)


eViews -> equation eq_name.qreg(quant=0.9, cov=boot, btmethod=mcmba) dependent_variable c independent_variables

As said, for the cov-option in eViews I've already tried all possible values.


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