Quantile regression for general spatial panel data models with fixed effects

被引：11
|
作者：
Dai, Xiaowen [1 ]
Yan, Zhen [2 ]
Tian, Maozai [3 ,4 ,5 ]
Tang, ManLai [6 ]
机构：
[1] Shanghai Lixin Univ Accounting & Finance, Sch Stat & Math, Shanghai, Peoples R China
[2] Guangxi Normal Univ, Sch Math & Stat, Guilin, Peoples R China
[3] Renmin Univ China, Ctr Appl Stat, Sch Stat, Beijing 100872, Peoples R China
[4] Lanzhou Univ Finance & Econ, Sch Stat, Lanzhou 730101, Gansu, Peoples R China
[5] Xinjiang Univ Finance & Econ, Sch Stat & Informat, Urumqi 830012, Peoples R China
[6] Hang Seng Management Coll, Dept Math & Stat, Hong Kong, Peoples R China
来源：
JOURNAL OF APPLIED STATISTICS | 2020年 / 47卷 / 01期
基金：
中国国家自然科学基金; 美国国家科学基金会;
关键词：
Fixed effects; instrumental variables; quantile regression; space-time panel models; spatial autoregressive; INFERENCE;
D O I：
10.1080/02664763.2019.1628190
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
This paper considers the quantile regression model with both individual fixed effect and time period effect for general spatial panel data. Fixed effects quantile regression estimators based on instrumental variable method will be proposed. Asymptotic properties of the proposed estimators will be developed. Simulations are conducted to study the performance of the proposed method. We will illustrate our methodologies using a cigarettes demand data set.
引用
收藏
页码：45 / 60
页数：16
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