Variable Selection of the Spatial Autoregressive Quantile Model with Fixed Effects

Xuan LIU, Jian Bao CHEN

Acta Mathematica Sinica, Chinese Series ›› 2023, Vol. 66 ›› Issue (3) : 405-424.

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Acta Mathematica Sinica, Chinese Series ›› 2023, Vol. 66 ›› Issue (3) : 405-424. DOI: 10.12386/A20210077

Variable Selection of the Spatial Autoregressive Quantile Model with Fixed Effects

  • Xuan LIU1, Jian Bao CHEN2
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Abstract

We study the variable selection problem of the spatial autoregressive quantile model with fixed effects. By penalizing the relevant parameters, we can identify the spatial effects, estimate the unknown parameters and select the explanatory variables simultaneously. In addition, we give an algorithm of variable selection and prove the large sample property of penalty estimator. Numerical simulation and real data analysis show the excellent performance of the proposed method.

Key words

fixed effects / spatial autoregressive quantile model / variable selection / large sample property / numerical simulation

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Xuan LIU, Jian Bao CHEN. Variable Selection of the Spatial Autoregressive Quantile Model with Fixed Effects. Acta Mathematica Sinica, Chinese Series, 2023, 66(3): 405-424 https://doi.org/10.12386/A20210077

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