Instrumental Variable Quantile Estimation of Spatial Autoregressive Models

Instrumental Variable Quantile Estimation of Spatial Autoregressive Models

We propose a spatial quantile autoregression (SQAR) model, which allows cross-sectional dependence among the responses, unknown heteroscedasticity in the disturbances, and heterogeneous impacts of covariates on different points (quantiles) of a response distribution. The instrumental variable quantil...

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Bibliographic Details
Main Authors: SU, Liangjun, YANG, Zhenlin
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2011
Subjects:
Spatial Autoregressive Model
IV Quantile Regression
Instrumental Variable
Spatial Dependence
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1074
https://ink.library.smu.edu.sg/context/soe_research/article/2073/viewcontent/Instrumental_Variable_Quantile_Estimation_2011_wp.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/1074
https://ink.library.smu.edu.sg/context/soe_research/article/2073/viewcontent/Instrumental_Variable_Quantile_Estimation_2011_wp.pdf

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