Instrumental Variable Quantile Estimation of Spatial Autoregressive Models

Instrumental Variable Quantile Estimation of Spatial Autoregressive Models

We propose an instrumental variable quantile regression (IVQR) estimator for spatial autoregressive (SAR) models. Like the GMM estimators of Lin and Lee (2006) and Kelejian and Prucha (2006), the IVQR estimator is robust against heteroscedasticity. Unlike the GMM estimators, the IVQR estimator is al...

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Bibliographic Details
Main Author: YANG, Zhenlin
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2007
Subjects:
Spatial Autoregressive Model; Quantile Regression; Instrumental Variable; QuasiMaximum Likelihood; GMM; Robustness
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1038
https://ink.library.smu.edu.sg/context/soe_research/article/2037/viewcontent/ivqr_sar20110505.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/1038
https://ink.library.smu.edu.sg/context/soe_research/article/2037/viewcontent/ivqr_sar20110505.pdf

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