Parente, Paulo M D C and Santos Silva, Joao M C (2013) Quantile regression with clustered data. Working Paper. University of Essex, Department of Economics, Economics Discussion Papers, Colchester.
|
Text
dp728.pdf Download (320kB) | Preview |
Official URL: http://ideas.repec.org/p/esx/essedp/728.html
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.
Item Type: | Monograph (Working Paper) |
---|---|
Uncontrolled Keywords: | Clustered standard errors, Moulton Problem, Panel data, Specification testing. |
Subjects: | H Social Sciences > HB Economic Theory |
Divisions: | Faculty of Social Sciences > Economics, Department of |
Depositing User: | Users 161 not found. |
Date Deposited: | 28 Aug 2014 09:36 |
Last Modified: | 16 Dec 2014 11:14 |
URI: | http://repository.essex.ac.uk/id/eprint/8976 |
Actions (login required)
![]() |
View Item |