Instrumental Variable Quantile Estimation of Spatial Autoregressive Models

• 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
• Institution: Singapore Management University

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...