English, Article, Journal or magazine article edition: Instrumental Variable Quantile Estimation of Spatial Autoregressive Models Zhenlin Yang; Liangjun Su

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Bookmark: http://trove.nla.gov.au/version/40298
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Instrumental Variable Quantile Estimation of Spatial Autoregressive Models
Author
  • Zhenlin Yang
  • Liangjun Su
Physical Description
  • preprint
Notes
  • 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 also robust against outliers and requires weaker moment conditions. More importantly, it allows us to characterize the heterogeneous impact of variables on different points (quantiles) of a response distribution. We derive the limiting distribution of the new estimator. Simulation results show that the new estimator performs well in finite samples at various quantile points. In the special case of median restriction, it outperforms the conventional QML estimator without taking into account of heteroscedasticity in the errors; it also outperforms the GMM estimators with or without considering the heteroscedasticity.
  • Spatial Autoregressive Model; Quantile Regression; Instrumental Variable; Quasi Maximum Likelihood; GMM; Robustness.
  • RePEc:siu:wpaper:05-2007
Language
  • English
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