arXiv 11 Jan 2023 · Econometrics · publishedJournal of Econometrics (2024) · 1 citations (OpenAlex)
arXiv:2301.04687 · PDF · DOI · OpenAlex · Extracted main text
I introduce a generic method for inference on entire quantile and regression quantile processes in the presence of a finite number of large and arbitrarily heterogeneous clusters. The method asymptotically controls size by generating statistics that exhibit enough distributional symmetry such that randomization tests can be applied. The randomization test does not require ex-ante matching of clusters, is free of user-chosen parameters, and performs well at conventional significance levels with as few as five clusters. The method tests standard (non-sharp) hypotheses and can even be asymptotically similar in empirically relevant situations. The main focus of the paper is inference on quantile treatment effects but the method applies more broadly. Numerical and empirical examples are provided.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Rüschendorf, L (1982) Random variables with maximum sums | 0.928 | 5 | 3 | 80% |
| 2 | Hagemann, A (2017) Cluster-robust bootstrap inference in quantile regression models self | 0.874 | 12 | 2 | 100% |
| 3 | Callaway, B. and T. Li (2019) Quantile treatment effects in difference in differences models with panel data | 0.811 | 4 | 2 | 100% |
| 4 | Canay, I., J. P. Romano, and A. M. Shaikh (2017) Randomization tests under an approximate symmetry assumption | 0.811 | 4 | 2 | 100% |
| 5 | Hoeffding, W (1952) The large-sample power of tests based on permutations of observations | 0.763 | 6 | 2 | 67% |
| 6 | Vovk, V. and R. Wang (2020) Combining p-values via averaging | 0.737 | 3 | 2 | 100% |
| 7 | Mattner, L (2012) Combining individually valid and arbitrarily dependent P-variables | 0.693 | 5 | 1 | 100% |
| 8 | Koenker, R. and G. Bassett (1978) Regression quantiles | 0.644 | 2 | 2 | 100% |
| 9 | Jackson, E. and M. E. Page (2013) Estimating the distributional effects of education reforms: A look at Project STAR | 0.511 | 2 | 1 | 100% |
| 10 | Adler, R. J. and J. E. Taylor (2007) Random Fields and Geometry | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 31 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Gradient Wild Bootstrap for Instrumental Variable Quantile Regressions with Weak and Few Clusters | 0.585 | 3 | 1 |
| 2 | Extremal Quantiles under Two-Way Clustering | 0.405 | 1 | 1 |