Yoon, Jungmo; Galvão Júnior, Antônio Fialho - In: Quantitative Economics 11 (2020) 2, pp. 579-608
This study develops cluster robust inference methods for panel quantile regression (QR) models with individual fixed effects, allowing for temporal correlation within each individual. The conventional QR standard errors can seriously underestimate the uncertainty of estimators and, therefore,...
