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Quantile regression with clustered data

Paulo Parente () and João Santos Silva ()

Economics Discussion Papers from University of Essex, Department of Economics

Abstract: We show that the quantile regression estimator is consistent and asymptotically normal when the error terms are correlated within clusters but independent across clusters. A consistent estimator of the covariance matrix of the asymptotic distribution is provided and we propose a specification test capable of detecting the presence of intra-cluster correlation. A small simulation study illustrates the finite sample performance of the test and of the covariance matrix estimator.

Keywords: Clustered standard errors; Moulton Problem; Panel data; Specification testing. (search for similar items in EconPapers)
Date: 2013
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Related works:
Journal Article: Quantile Regression with Clustered Data (2016) Downloads
Working Paper: Quantile regression with clustered data (2013) Downloads
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