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Title: Quantile regression with clustered data
Authors: Parente, P. M. D. C.
Silva, J. M. C. S.
Keywords: Clustered standard errors
Moulton problem
Panel data
Specification testing
Issue Date: 2016
Publisher: De Gruyter
Abstract: We study the properties of the quantile regression estimator when data are sampled from independent and identically distributed clusters, and show that the estimator is consistent and asymptotically normal even when there is intra-cluster correlation. 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.
Peer reviewed: yes
DOI: 10.1515/jem-2014-0011
ISSN: 2156-6674
Appears in Collections:BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica

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