Harold D. Chiang, Ryutah Kato, Yuya Sasaki
arXiv 29 Feb 2024 · Mathematics — Statistics Theory
arXiv:2402.19268 · PDF · DOI · OpenAlex · Extracted main text
This paper investigates extremal quantiles under two-way cluster dependence. We demonstrate that the limiting distribution of the unconditional intermediate order quantiles in the tails converges to a Gaussian distribution. This is remarkable as two-way cluster dependence entails potential non-Gaussianity in general, but extremal quantiles do not suffer from this issue. Building upon this result, we extend our analysis to extremal quantile regressions of intermediate order.
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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 | Chernozhukov, Victor (2005) Extremal Quantile Regression | 1.000 | 9 | 3 | 100% |
| 2 | Adrian, Tobias and Grinberg, Federico and Liang, Nellie and Malik, S… (2022) The term structure of growth-at-risk | 0.874 | 6 | 2 | 100% |
| 3 | Menzel, Konrad (2021) Bootstrap With Cluster‐Dependence in Two or More Dimensions | 0.737 | 3 | 2 | 100% |
| 4 | Sasaki, Yuya and Wang, Yulong (2023) Extreme Changes in Changes self | 0.511 | 2 | 1 | 100% |
| 5 | Zhang, Xiaohong (2018) Inference for Tail Parameters in Conditional Extreme Value Models | 0.511 | 2 | 1 | 100% |
| 6 | Bickel, Peter J. and Chen, Aiyou and Levina, Elizaveta (2011) The method of moments and degree distributions for network models | 0.405 | 1 | 1 | 100% |
| 7 | Cameron, A. Colin and Gelbach, John B. and Miller, Douglas L (2011) Robust Inference with Multi-way Clustering | 0.405 | 1 | 1 | 100% |
| 8 | Chernozhukov, Victor and Umantsev, Len (2001) Conditional value-at-risk: Aspects of modeling and estimation | 0.405 | 1 | 1 | 100% |
| 9 | Chernozhukov, Victor and Fernandez-Val, Ivan (2011) Inference on Counterfactual Distributions | 0.405 | 1 | 1 | 100% |
| 10 | Davezies, Laurent and D'Haultfoeuille, Xavier and Guyonvarch, Yannick (2021) Quantile Treatment Effects in Regression Discontinuity Designs with Covariates | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 39 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Two-way Clustering Robust Variance Estimator in Quantile Regression Models | 0.585 | 3 | 1 |