arXiv 18 Feb 2026 · Econometrics
arXiv:2602.16376 · PDF · DOI · OpenAlex · Extracted main text
We study inference for linear quantile regression with two-way clustered data. Using a separately exchangeable array framework and a projection decomposition of the quantile score, we characterize regime-dependent convergence rates and establish a self-normalized Gaussian approximation. We propose a two-way cluster-robust sandwich variance estimator with a kernel-based density “bread” and a projection-matched “meat”, and prove consistency and validity of inference in Gaussian regimes. We also show an impossibility result for uniform inference in a non-Gaussian interaction regime.
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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 | Menzel, Konrad (2021) Bootstrap with cluster-dependence in two or more dimensions | 0.928 | 5 | 3 | 80% |
| 2 | Kato, Kengo (2012) Asymptotic normality of Powell’s kernel estimator | 0.737 | 3 | 2 | 100% |
| 3 | Cameron, A Colin and Gelbach, Jonah B and Miller, Douglas L (2011) Robust inference with multiway clustering | 0.644 | 2 | 2 | 100% |
| 4 | Chiang, Harold D. and Hansen, Bruce E. and Sasaki, Yuya (2024) Standard Errors for Two-Way Clustering with Serially Correlated Time Effects | 0.644 | 2 | 2 | 100% |
| 5 | Davezies, Laurent and D’Haultfœuille, Xavier and Guyonvarch, Yannick (2021) Empirical process results for exchangeable arrays | 0.644 | 2 | 2 | 100% |
| 6 | Galvao, Antonio F and Yoon, Jungmo (2024) Hac covariance matrix estimation in quantile regression | 0.644 | 2 | 2 | 100% |
| 7 | Hagemann, Andreas (2017) Cluster-robust bootstrap inference in quantile regression models | 0.644 | 2 | 2 | 100% |
| 8 | MacKinnon, James G and Nielsen, Morten Ørregaard and Webb, Matthew D (2021) Wild bootstrap and asymptotic inference with multiway clustering | 0.644 | 2 | 2 | 100% |
| 9 | Chiang, Harold D and Kato, Ryutah and Sasaki, Yuya (2024) Extremal quantiles of intermediate orders under two-way clustering | 0.585 | 3 | 1 | 100% |
| 10 | Davezies, Laurent and D'Haultfoeuille, Xavier and Guyonvarch, Yannick (2018) Asymptotic results under multiway clustering | 0.585 | 3 | 1 | 100% |
Showing the top 10 of 26 scored citations.