The Stata commands counterfactual, cdeco and cdeco_jmp implement the estimators suggested in Chernozhukov, Fernández-Val and Melly (2012, “Inference on counterfactual distributions”). The command counterfactual estimate the effects of changes in the distribution of covariates on the distribution of the dependent variable. It also provides procedures to make inference on the counterfactual distribution functions. The cdeco uses the counterfactual distribution to decompose the differences between two observable quantile functions. This is similar in principle to the famous Oaxaca/Blinder decomposition of the quantile differences. The cdeco_jmp command implements a decomposition in three components: characteristics, median coefficients and residuals. This is similar to the Juhn, Murphy and Pierce decomposition.
The easiest way to install the commands is to type
net install counterfactual, from("http://www.econ.brown.edu/fac/Blaise_Melly/")
on the Stata command prompt.
Alternatively you can download the .ado and .hlp files and copy them in your personal ado directory. (Where is my personal ado directory?)
COUNTERFACTUAL: zip-file containing the ado, hlp and do files