The "QUANTILES" Stata module helps categorize data into groups based on their quantiles. Unlike other methods, it creates categories based on the ideal size of the quantile, leading to more evenly sized groups. This is especially useful when dealing with frequent values, using weights, or when the dataset size is not a multiple of the number of quantiles. However, it may not work well with small datasets or groups. To ensure accurate results, it is recommended to check the categorized variable using tabulation when dealing with small datasets or groups.