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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- Bernd Fitzenberger & Karsten Kohn & Alexander C. Lembcke, 2013.
"Union Density and Varieties of Coverage: The Anatomy of Union Wage Effects in Germany,"
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