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.
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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) |
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| 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 |
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