2024 年 12 月 13 日 CRETA Seminar - Extremal quantiles under two-way clustering

訊息標題：

2024 年 12 月 13 日 CRETA Seminar - Extremal quantiles under two-way clustering

簡介摘要：

國立臺灣大學計量理論與應用研究中心 (CRETA) ，國立臺灣大學經濟學系及臺灣經濟計量學會 (TES) 將於 2024 年 12 月 13 日舉辦 CRETA Seminar。相關資訊如下：

 

【 12 月 13 日 CRETA Seminar】

日期：2024 年 12 月 13 日 (週五) 下午 1:30~3:00

地點：國立臺灣大學管理學院二號館 3 樓 302 教室

講者：

Prof. Harold D. Chiang (Department of Economics, University of Wisconsin-Madison)

 

演講主題：Extremal quantiles under two-way clustering

 

講題摘要：This paper investigates extremal quantiles under two-way clustering 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 even in degenerate cases. Building upon this result, we extend our analysis to extremal quantile regressions of intermediate order.  Simulation evidence supports our theoretical findings. An empirical application based on Adrian et al (2022) is provided.