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Extremal quantiles of intermediate orders under two-way clustering

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  • Harold D. Chiang
  • Ryutah Kato
  • Yuya Sasaki

Abstract

This paper investigates extremal quantiles under two-way cluster dependence. We demonstrate that the limiting distribution of the unconditional intermediate order quantiles in the tails converges to a Gaussian distribution. This is remarkable as two-way cluster dependence entails potential non-Gaussianity in general, but extremal quantiles do not suffer from this issue. Building upon this result, we extend our analysis to extremal quantile regressions of intermediate order.

Suggested Citation

  • Harold D. Chiang & Ryutah Kato & Yuya Sasaki, 2024. "Extremal quantiles of intermediate orders under two-way clustering," Papers 2402.19268, arXiv.org, revised Mar 2024.
    • Handle: RePEc:arx:papers:2402.19268
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    References listed on IDEAS

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    1. Engle, Robert F & Manganelli, Simone, 1999. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," University of California at San Diego, Economics Working Paper Series qt06m3d6nv, Department of Economics, UC San Diego.
    2. Keisuke Hirano & Jack R. Porter, 2003. "Asymptotic Efficiency in Parametric Structural Models with Parameter-Dependent Support," Econometrica, Econometric Society, vol. 71(5), pages 1307-1338, September.
    3. Robert F. Engle & Simone Manganelli, 2004. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 367-381, October.
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