Abstract Details
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Activity Number:
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616
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Type:
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Invited
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Date/Time:
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Thursday, August 8, 2013 : 8:30 AM to 10:20 AM
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Sponsor:
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Business and Economic Statistics Section
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| Abstract - #307134 |
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Title:
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Cluster Covariance Matrix Estimation for Quantile Regression Models
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Author(s):
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Andreas Hagemann*+
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Companies:
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University of Notre Dame
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Keywords:
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quantile regression ;
bootstrap ;
cluster
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Abstract:
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In this paper I introduce a wild bootstrap procedure for cluster inference in quantile regression models. I show that the bootstrap leads to asymptotically valid inference in a setting with a large number of small clusters. A simulation study compares the proposed methods to other bootstrap procedures.
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Authors who are presenting talks have a * after their name.
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