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      Quantile Regression with Clustered Data

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      Journal of Econometric Methods
      Walter de Gruyter GmbH

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          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.

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          Most cited references16

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          Regression Quantiles

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            The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics

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              Robust Inference With Multiway Clustering

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                Author and article information

                Journal
                Journal of Econometric Methods
                Walter de Gruyter GmbH
                2156-6674
                2194-6345
                January 1 2016
                January 1 2016
                : 5
                : 1
                : 1-15
                Article
                10.1515/jem-2014-0011
                50fa1e8a-c989-439b-bab7-fa5871b8f775
                © 2016
                History

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