Quantile regression with clustered data

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 speci?cation test capable of detecting the presence of intra-cluster correlation. A small simulation study illustrates the ?nite sample performance of the test and of the covariance matrix estimator.

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Year of publication:	2013
Authors:	Parente, Paulo M.D.C. ; Silva, Joao M.C. Santos
Institutions:	Business School, University of Exeter
Subject:	Clustered standard errors \| Moulton Problem \| Panel data \| Specification testing

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Extent:	application/pdf
Series:	Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	Number 1305
Classification:	C12 - Hypothesis Testing ; C21 - Cross-Sectional Models; Spatial Models ; C23 - Models with Panel Data
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010883474