03-01-2016 04:41 AM
I'm currently using proc quantreg to run weighted quantile regression with fixed effects but I am not sure how to get clustered standard errors. My code is:
proc quantreg data=my_data; class industry country year; model y = x industry country year / quantile = 0.5; weight my_weights; run;
I have industry, country, and year fixed effects with weight variable 'my_weights'. However, how can I get firm and year clustered standard errors? That is, standard errors clustered by variables 'firm' and 'year'?