Quantile regression with clustered data
Paulo Parente () and
João Santos Silva ()
Economics Discussion Papers from University of Essex, Department of Economics
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)
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Journal Article: Quantile Regression with Clustered Data (2016)
Working Paper: Quantile regression with clustered data (2013)
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