Quantile regression with clustered data

Paper number: 13/05

Paper date: June 20, 2013

Year: 2013

Paper Category: Discussion Paper


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


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 …nite sample performance of the test and of the covariance matrix estimator.

JEL classi…cation code: C12, C21, C23.
Key words: Clustered standard errors, Moulton Problem, Panel data, Speci…cation testing.

Quantile regression with clustered data Quantile regression with clustered data