Quantile regression for general spatial panel data models with fixed effects

被引：13
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
相关论文
共 50 条
  • [21] Quantile treatment effects in difference in differences models with panel data
    Callaway, Brantly
    Li, Tong
    QUANTITATIVE ECONOMICS, 2019, 10 (04) : 1579 - 1618
  • [22] Cluster robust covariance matrix estimation in panel quantile regression with individual fixed effects
    Yoon, Jungmo
    Galvao, Antonio F.
    QUANTITATIVE ECONOMICS, 2020, 11 (02) : 579 - 608
  • [23] TWO-STEP ESTIMATION OF QUANTILE PANEL DATA MODELS WITH INTERACTIVE FIXED EFFECTS
    Chen, Liang
    ECONOMETRIC THEORY, 2024, 40 (02) : 419 - 446
  • [24] Bootstrap Inference for Panel Data Quantile Regression
    Galvao, Antonio F.
    Parker, Thomas
    Xiao, Zhijie
    JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2024, 42 (02) : 628 - 639
  • [25] Robust estimation and inference of spatial panel data models with fixed effects
    Liu, Shew Fan
    Yang, Zhenlin
    JAPANESE JOURNAL OF STATISTICS AND DATA SCIENCE, 2020, 3 (01) : 257 - 311
  • [26] Robust estimation and inference of spatial panel data models with fixed effects
    Shew Fan Liu
    Zhenlin Yang
    Japanese Journal of Statistics and Data Science, 2020, 3 : 257 - 311
  • [27] Modal regression for fixed effects panel data
    Aman Ullah
    Tao Wang
    Weixin Yao
    Empirical Economics, 2021, 60 : 261 - 308
  • [28] Smoothed quantile regression for panel data
    Galvao, Antonio F.
    Kato, Kengo
    JOURNAL OF ECONOMETRICS, 2016, 193 (01) : 92 - 112
  • [29] Quantile-regression-based clustering for panel data
    Zhang, Yingying
    Wang, Huixia Judy
    Zhu, Zhongyi
    JOURNAL OF ECONOMETRICS, 2019, 213 (01) : 54 - 67
  • [30] Censored panel quantile regression with fixed effects via an asymmetric link function
    Komuryakan, Fulden
    Guris, Selahattin
    COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2024,
12345