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Tagged with sandwich quantile-regression
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r quantreg - quantile regression with clustered standard errors
I fit a quantile regression using quantreg:::rq on clustered data. I use the Huber sandwich estimator to obtain cluster-corrected standard errors, which is ...
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Huber sandwich estimator in quantile regression
I need the description of Huber sandwich estimate method for quantile regression.
I found this "a Huber sandwich estimate using a local estimate of the sparsity function". Sparsity function looks ...
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