Xiaowen Dai, Zhen Yan, Maozai Tian, Manlai Tang

【Abstract】

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.

【Keywords】

fixed effects, instrumental variables, quantile regression, space–time panel models, spatial autoregressive