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Robust covariance estimation for quantile regression

João Santos Silva ()

United Kingdom Stata Users' Group Meetings 2015 from Stata Users Group

Abstract: Quantile regression is increasingly used by practitioners, but there are still some misconceptions about how difficult it is to obtain valid standard errors in this context. In this presentation I discuss the estimation of the covariance matrix of the quantile regression estimator, focusing special attention on the case where the regression errors may be heteroskedastic and/or “clustered”. Specification tests to detect heteroskedasticity and intra-cluster correlation are discussed, and small simulation studies illustrate the finite sample performance of the tests and of the covariance matrix estimators. The presentation concludes with a brief description of qreg2, which is a wrapper for qreg that implements all the methods discussed in the presentation.

New Economics Papers: this item is included in nep-ecm
Date: 2015-09-16
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http://repec.org/usug2015/santossilva_uksug15.pdf presentation slides (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:boc:usug15:10

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