Inference on quantile processes with a finite number of clusters

Andreas Hagemann

Journal of Econometrics, 2025, vol. 249, issue PA

Abstract: I introduce a generic method for inference on entire quantile and regression quantile processes in the presence of a finite number of large and arbitrarily heterogeneous clusters. The method asymptotically controls size by generating statistics that exhibit enough distributional symmetry such that randomization tests can be applied. The randomization test does not require ex-ante matching of clusters, is free of user-chosen parameters, and performs well at conventional significance levels with as few as five clusters. The method tests standard (non-sharp) hypotheses and can even be asymptotically similar in empirically relevant situations. The main focus of the paper is inference on quantile treatment effects but the method applies more broadly. Numerical and empirical examples are provided.

Keywords: Cluster-robust inference; Quantiles; Treatment effects; Randomization inference; Difference in differences (search for similar items in EconPapers)
JEL-codes: C01 C21 C23 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:249:y:2025:i:pa:s0304407624000186

DOI: 10.1016/j.jeconom.2024.105672

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