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Proc Quantreg clustered errors

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Proc Quantreg clustered errors

Hi everybody,

there is the following problem: I have a dataset containing return data for many different mutual funds and some other fund characteristics. Now I want to use quantile regression via proc quantreg, but with clustered standard errors by fund. By now, I only know proc surveyreg for clustered errors...

Can anybody help?

Thanks in advance!

Phil

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