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Quantile regression with clustered data

  • J.M.C. Santos Silva
  • Paulo M.D.C. Parente

    ()

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.

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File URL: http://www.essex.ac.uk/economics/discussion-papers/papers-text/dp728.pdf
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Paper provided by University of Essex, Department of Economics in its series Economics Discussion Papers with number 728.

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Date of creation: 30 Jun 2013
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Handle: RePEc:esx:essedp:728
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  1. Moulton, Brent R., 1986. "Random group effects and the precision of regression estimates," Journal of Econometrics, Elsevier, vol. 32(3), pages 385-397, August.
  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. Buchinsky, Moshe, 1995. "Estimating the asymptotic covariance matrix for quantile regression models a Monte Carlo study," Journal of Econometrics, Elsevier, vol. 68(2), pages 303-338, August.
  4. Powell, James L., 1986. "Censored regression quantiles," Journal of Econometrics, Elsevier, vol. 32(1), pages 143-155, June.
  5. Koenker,Roger, 2005. "Quantile Regression," Cambridge Books, Cambridge University Press, number 9780521845731, May.
  6. William Rogers, 1993. "Quantile regression standard errors," Stata Technical Bulletin, StataCorp LP, vol. 2(9).
  7. Powell, James L., 1984. "Least absolute deviations estimation for the censored regression model," Journal of Econometrics, Elsevier, vol. 25(3), pages 303-325, July.
  8. 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.
  9. 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.
  10. 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 07 Feb 2015.
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