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.

翻译：本文探讨了在双聚类依赖下的极值分位数问题。我们证明，尾部无条件中间阶数分位数的极限分布收敛于高斯分布。这一结果令人瞩目，因为双聚类依赖通常会导致非高斯性，但极值分位数不受此问题影响。基于这一结论，我们将分析扩展到中间阶数的极值分位数回归。