Extremal Quantiles under Two-Way Clustering
双向聚类依赖下的极端分位数
This paper studies extremal quantiles under two-way clustered dependence. We show that the limiting distribution of unconditional intermediate-order tail quantiles is Gaussian. This result is notable because two-way clustering typically leads to non-Gaussian limiting behavior. Remarkably, extremal quantiles remain asymptotically Gaussian even in degenerate cases. Building on this insight, we extend our analysis to extremal quantile regression at intermediate orders.…