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


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 !

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