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st: clustered standard errors in quantile regressions


From   Giovanni Pica <pica@socsci.soton.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   st: clustered standard errors in quantile regressions
Date   Mon, 11 Apr 2005 08:38:47 +0100

Dear all,

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
framework?

Thanks a lot.

Regards,
giovanni pica



===========================================================
Economics Division - School of Social Sciences
University of Southampton
Southampton SO17 1BJ - UK
Tel: 	+44 (0)23 8059 7037
Fax: 	+44 (0)23 8059 3858
Mail: 	g.pica@soton.ac.uk
Web:	http://www.economics.soton.ac.uk/staff/pica/
===========================================================


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