Instrumental Variable Quantile Estimation of Spatial Autoregressive Models

• 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
• Institution: Singapore Management University

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...