Quantile regression with clustered data
Paper number: 13/05
Paper date: June 20, 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.
cation code: C12, C21, C23.
Key words: Clustered standard errors, Moulton Problem, Panel data, Speci cation testing.