How to cluster standard errors with RQPD from Koenker (2004)

General
1

Hello,

I use the rqpd command to run a Penalized Quantile Regression on Panel Data, as described by Koenker (2004). I work with firm-level data, and I want to cluster the standard errors at the sector level. But I can't find any option to cluster using the rqpd command...

Does anyone have an idea about how I could handle this ?

Thanks !

2

This topic was automatically closed 21 days after the last reply. New replies are no longer allowed.

If you have a query related to it or one of the replies, start a new topic and refer back with a link.