I am looking for an R implementation of the quantile regression with fixed effects as proposed by Machado and Santos Silva (2019).
Is it included in any package or is anyone currently working on it?
I know that the authors implemented their approach in Stata (see xtqreg, https://jmcss.som.surrey.ac.uk/research.html). However, I cannot find an equivalent function for R.
Any help is welcome!
Reference: Machado, J.A.F. and Santos Silva, J.M.C. (2019), Quantiles via Moments, Journal of Econometrics, 213(1), pp. 145-173.