具有固定效应的一般空间面板数据模型的分位数回归
Quantile regression for general spatial panel data models with fixed effects.
作者信息
Dai Xiaowen, Yan Zhen, Tian Maozai, Tang ManLai
机构信息
School of Statistics and Mathematics, Shanghai Lixin University of Accounting and Finance, Shanghai, People's Republic of China.
School of Mathematics and Statistics, Guangxi Normal University, Guilin, People's Republic of China.
出版信息
J Appl Stat. 2019 Jun 13;47(1):45-60. doi: 10.1080/02664763.2019.1628190. eCollection 2020.
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.
本文考虑了一般空间面板数据的具有个体固定效应和时期效应的分位数回归模型。将提出基于工具变量法的固定效应分位数回归估计量。将推导所提出估计量的渐近性质。进行模拟以研究所提出方法的性能。我们将使用一个香烟需求数据集来说明我们的方法。
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