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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書目詳細資料
主要作者:	YANG, Zhenlin
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2007
主題:	Spatial Autoregressive Model; Quantile Regression; Instrumental Variable; QuasiMaximum Likelihood; GMM; Robustness Econometrics
在線閱讀:	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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機構:	Singapore Management University
語言:	English

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