A spatial panel quantile model with unobserved heterogeneity

DOI10.1016/J.JECONOM.2021.08.004OpenAlexW3211140563MaRDI QIDQ2106401FDOQ2106401

Lina Lü, Kunpeng Li, Tomohiro Ando

Publication date: 14 December 2022

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2021.08.004

zbMATH Keywords

endogeneityheterogeneous panelquantile factor structureserial and cross-sectional correlationsspatial effects

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Introduction to spatial econometrics.
• Forecasting Using Principal Components From a Large Number of Predictors
• Determining the Number of Factors in Approximate Factor Models
• Estimation of simultaneous systems of spatially interrelated cross sectional equations.
• Estimating a spatial autoregressive model with an endogenous spatial weight matrix
• Principal components estimation and identification of static factors
• Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both \(n\) and \(T\) are large
• Noncrossing quantile regression curve estimation
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Quantile and Probability Curves Without Crossing
• Non-Crossing Non-Parametric Estimates of Quantile Curves
• Bayesian Spatial Quantile Regression
• Determining the Number of Factors in the General Dynamic Factor Model
• GMM estimation of spatial autoregressive models with unknown heteroskedasticity
• Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models
• \(\ell_1\)-penalized quantile regression in high-dimensional sparse models
• Instrumental quantile regression inference for structural and treatment effect models
• Panel Data Models With Interactive Fixed Effects
• Statistical analysis of factor models of high dimension
• Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity
• Variable selection in high-dimensional quantile varying coefficient models
• Linear Regression for Panel With Unknown Number of Factors as Interactive Fixed Effects
• Common risk factors in the returns on stocks and bonds
• Quantile Factor Models
• Partially linear additive quantile regression in ultra-high dimension
• Efficient estimation of approximate factor models via penalized maximum likelihood
• On the network topology of variance decompositions: measuring the connectedness of financial firms
• The network origins of aggregate fluctuations
• The Granular Origins of Aggregate Fluctuations
• Spatial dynamic panel data models with interactive fixed effects
• Shrinkage estimation of dynamic panel data models with interactive fixed effects
• Revisiting the location of FDI in China: a panel data approach with heterogeneous shocks
• Oil Prices and the Stock Market*
• High-Frequency Identification of Monetary Non-Neutrality: The Information Effect*
• Dynamic spatial panel data models with common shocks
• Fixed-effects dynamic spatial panel data models and impulse response analysis
• Multivariate spatial autoregressive model for large scale social networks
• Efficient estimation of heterogeneous coefficients in panel data models with common shocks

Cited In (5)

• An unbalanced spatial panel data approach to US state tax competition
• Interpreting heterogeneous coefficient spatial autoregressive panel models
• Scenario-based quantile connectedness of the U.S. interbank liquidity risk network
• Penalized quantile regression for spatial panel data with fixed effects
• Binary response models for heterogeneous panel data with interactive fixed effects

Uses Software

• Arc_Mat

This page was built for publication: A spatial panel quantile model with unobserved heterogeneity

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2106401)