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 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.
Year of publication: |
2013-06-30
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Authors: | Silva, J.M.C. Santos ; Parente, Paulo M.D.C. |
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