Xiaowen Dai, Maozai Tian, Zhen Yan

【Abstract】

This paper investigates the panel data spatial autoregressive error model with fixed effect. The quantile regression estimates of the unknown parameters are obtained based on the instrumental variable method. Monte Carlo simulation study indicates that the instrumental variable quantile regression (IVQR)estimate is effective in dealing with the spatial panel data model and is prior to mean regression methods.

【Keywords】

panel data, spatial autoregressive error model, fixed effect, quantile regression, instrumental variable