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Quantile regression with clustered data

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)
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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