Quantile Regression for Dynamic Panel Data Using Hausman-Taylor Instrumental Variables

doi:10.1007/s10614-017-9779-0

	Quantile Regression for Dynamic Panel Data Using Hausman-Taylor Instrumental Variables
	Tao, Li ; Zhang, Yuanjie ; Tian, Maozai
	2019-03
发表期刊	COMPUTATIONAL ECONOMICS
卷号	53 期号:3 页码:1033-1069
摘要	This paper considers quantile regression for dynamic fixed effects panel data models with Hausman-Taylor instrumental variables (HTIV). The fixed effects estimators of panel data are typically biased when there existing lagged dependent variables and endogenous covariates as regressors, so we suggest the use of the Hausman-Taylor instrumental variables to reduce the dynamic bias. HTIV can be used even if independent variables do not vary with time when the unobserved heterogeneity is related to the independent variables. Besides, there is no need for HTIV to adapt instrumental variables beyond the model. In this paper, we consider Hausman-Taylor instrumental variables and propose two quantile regression estimators. We study the asymptotic properties of the proposed estimators. Monte Carlo simulation studies are conducted to examine the performance of the two proposed estimators. In addition, we illustrate the new approaches with an application to analyze the factors affecting price of commercialized residential buildings of 35 big and moderate cities in China, finding out that pre-price has a marked effect on current price.
关键词	Dynamic panel data Quantile regression Fixed effects Penalized regression Hausman-Taylor instrumental variables
DOI	10.1007/s10614-017-9779-0
收录类别	SCI ; SCIE ; SSCI
ISSN	0927-7099
语种	英语
WOS研究方向	Business & Economics ; Mathematics
WOS类目	Economics ; Management ; Mathematics, Interdisciplinary Applications
WOS记录号	WOS:000460619800007
出版者	SPRINGER
原始文献类型	Article
EISSN	1572-9974
引用统计	被引频次：3[WOS] [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	http://ir.lzufe.edu.cn/handle/39EH0E1M/10857
专题	统计与数据科学学院
作者单位	1.Renmin Univ China, Sch Stat, Ctr Appl Stat, Beijing 100872, Peoples R China; 2.Lanzhou Univ Finance & Econ, Sch Stat, Lanzhou 730101, Gansu, Peoples R China; 3.Xinjiang Univ Finance & Econ, Sch Stat & Informat, Urumqi 830012, Xinjiang, Peoples R China
推荐引用方式 GB/T 7714	Tao, Li,Zhang, Yuanjie,Tian, Maozai. Quantile Regression for Dynamic Panel Data Using Hausman-Taylor Instrumental Variables[J]. COMPUTATIONAL ECONOMICS,2019,53(3):1033-1069.
APA	Tao, Li,Zhang, Yuanjie,&Tian, Maozai.(2019).Quantile Regression for Dynamic Panel Data Using Hausman-Taylor Instrumental Variables.COMPUTATIONAL ECONOMICS,53(3),1033-1069.
MLA	Tao, Li,et al."Quantile Regression for Dynamic Panel Data Using Hausman-Taylor Instrumental Variables".COMPUTATIONAL ECONOMICS 53.3(2019):1033-1069.

条目包含的文件
文件名称/大小	文献类型	版本类型	开放类型	使用许可
15485.pdf（606KB）	期刊论文	出版稿	暂不开放	CC BY-NC-SA	请求全文