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dc.contributor.authorYoon, Jungmo
dc.contributor.authorGalvao, Antonio F.
dc.date.accessioned2020-06-27T02:09:30Z
dc.date.available2020-06-27T02:09:30Z
dc.date.issued2019-11-05
dc.identifier.citationYoon, J., & Galvao, A. (2020). Cluster robust covariance matrix estimation in panel quantile regression with individual fixed effects. Quantitative Economics, 11(2), 579-608. Retrieved from http://qeconomics.org/ojs/index.php/qe/article/view/1330en_US
dc.identifier.issn1759-7323
dc.identifier.doi10.3982/qe802
dc.identifier.urihttp://hdl.handle.net/10150/641774
dc.description.abstractThis study develops cluster robust inference methods for panel quantile regression (QR) models with individual fixed effects, allowing for temporal correlation within each individual. The conventional QR standard errors can seriously underestimate the uncertainty of estimators and, therefore, overestimate the significance of effects, when outcomes are serially correlated. Thus, we propose a clustered covariance matrix (CCM) estimator to solve this problem. The CCM estimator is an extension of the heteroskedasticity and autocorrelation consistent covariance matrix estimator for QR models with fixed effects. The autocovariance element in the CCM estimator can be substantially biased, due to the incidental parameter problem. Thus, we develop a bias-correction method for the CCM estimator. We derive an optimal bandwidth formula that minimizes the asymptotic mean squared errors, and propose a data-driven bandwidth selection rule. We also propose two cluster robust tests, and establish their asymptotic properties. We then illustrate the practical usefulness of the proposed methods using an empirical application.en_US
dc.language.isoenen_US
dc.publisherWILEYen_US
dc.rightsCopyright © 2020 The Authors. Licensed under the Creative Commons Attribution-NonCommercial License 4.0.en_US
dc.rights.urihttp://creativecommons.org/licenses/by-nc/4.0/en_US
dc.subjectCluster robust standard errorsen_US
dc.subjectquantile regressionen_US
dc.subjectpanel dataen_US
dc.subjectheteroskedasticity and autocorrelation consistent covariance matrix estimationen_US
dc.titleCluster robust covariance matrix estimation in panel quantile regression with individual fixed effectsen_US
dc.typeArticleen_US
dc.contributor.departmentUniv Arizona, Dept Econen_US
dc.identifier.journalQUANTITATIVE ECONOMICSen_US
dc.description.noteOpen access journalen_US
dc.description.collectioninformationThis item from the UA Faculty Publications collection is made available by the University of Arizona with support from the University of Arizona Libraries. If you have questions, please contact us at repository@u.library.arizona.edu.en_US
dc.eprint.versionFinal published versionen_US
dc.source.journaltitleQuantitative Economics
dc.source.volume11
dc.source.issue2
dc.source.beginpage579
dc.source.endpage608
refterms.dateFOA2020-06-27T02:09:31Z


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Copyright © 2020 The Authors. Licensed under the Creative Commons Attribution-NonCommercial License 4.0.
Except where otherwise noted, this item's license is described as Copyright © 2020 The Authors. Licensed under the Creative Commons Attribution-NonCommercial License 4.0.