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Quantile regression with clustered data

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Author Info

  • Paulo M.D.C. Parente

    (Department of Economics, University of Exeter)

  • Joao M.C. Santos Silva

    (Department of Economics, University of Essex and CEMAPRE)

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 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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File URL: http://people.exeter.ac.uk/cc371/RePEc/dpapers/DP1305.pdf
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Bibliographic Info

Paper provided by Exeter University, Department of Economics in its series Discussion Papers with number 1305.

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Date of creation: 2013
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Handle: RePEc:exe:wpaper:1305

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Related research

Keywords: Clustered standard errors; Moulton Problem; Panel data; Specification testing.;

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References

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  1. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
  2. Breusch, T S & Pagan, A R, 1980. "The Lagrange Multiplier Test and Its Applications to Model Specification in Econometrics," Review of Economic Studies, Wiley Blackwell, vol. 47(1), pages 239-53, January.
  3. Koenker,Roger, 2005. "Quantile Regression," Cambridge Books, Cambridge University Press, number 9780521608275, November.
  4. Powell, James L., 1986. "Censored regression quantiles," Journal of Econometrics, Elsevier, vol. 32(1), pages 143-155, June.
  5. Arellano, M, 1987. "Computing Robust Standard Errors for Within-Groups Estimators," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 49(4), pages 431-34, November.
  6. J.A.F. Machado & P.M.D.C Parente & J.M.C. Santos Silva, 2011. "QREG2: Stata module to perform quantile regression with robust and clustered standard errors," Statistical Software Components S457369, Boston College Department of Economics, revised 15 Feb 2014.
  7. Moulton, Brent R., 1986. "Random group effects and the precision of regression estimates," Journal of Econometrics, Elsevier, vol. 32(3), pages 385-397, August.
  8. William Rogers, 1993. "Quantile regression standard errors," Stata Technical Bulletin, StataCorp LP, vol. 2(9).
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