Font Size: a A A

Quantile Regression For Panel Vector Auto Regression Model

Posted on:2013-06-26Degree:MasterType:Thesis
Country:ChinaCandidate:Q XieFull Text:PDF
GTID:2249330395992513Subject:Quantitative Economics
Abstract/Summary:PDF Full Text Request
This paper studies parameter estimate problem of the quantile regression for panel data vector auto regression model. Panel data fixed effects estimators are typically biased when N is larger. To reduce the bias, we suggest the use of the instrumental variables quantile regression method of Chernozhukov(2006). Monte Carlo simulation shows that the instrumental variables approach sharply reduces the bias when N is larger than T. Finally, we illustrate a real data example to study the relationship between the real estate prices and macroeconomic of35large and medium-sized cities.
Keywords/Search Tags:Quantile Regression, PVAR, Fixed effects, Instrumental variables
PDF Full Text Request
Related items