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Weighted quantile regression with clustered standard errors and fixed effects

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Weighted quantile regression with clustered standard errors and fixed effects

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'?

 

Thanks alot.

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