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st: clustered standard errors in quantile regressions
a question on bootstrapping using the cluster option. I need to estimate the
following quantile regression:
w = a + bZ + e
where w is the wage of individual i in state s at time t; Z is the
unemployment rate in state s at time t.
In a standard OLS regression the standard error of the coefficient b should
obviously be clustered at the s,t level i.e. cluster(state_year).
The problem is that I estimate a quantile regression:
bs "qreg w Z, q(.90)" "_b[Z]", cluster(state_year)
Does this provide clustered standard errors in the quantile regression
I also notice (i) that when I run this command the number of replications is
always lower than the one specified and (ii) the lower bound of the
percentile and biased-corrected confidence intervals are always equal to
the observed coefficient. Can you tell me why?
Thanks a lot.
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