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st: clustered standard errors in quantile regressions


From   Giovanni Pica <[email protected]>
To   [email protected]
Subject   st: clustered standard errors in quantile regressions
Date   Thu, 31 Mar 2005 10:43:44 +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?

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.

Best regards,
giovanni pica


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