[R] Instrumental variable quantile estimation of spatial autoregressive models

[Roger Bivand]

This is a very detailed question, and possibly ought to have been posted on
R-sig-geo. Please re-post there, and see if anyone steps forward. As far as
I am aware, no implementation exists. I suggest you also refer to Kostov
(2009) in Spatial Economic Analysis volume 4.

Roger



Marie-Line Glaesener wrote:
> 
> Dear all,
> 
> I would like to implement a spatial quantile regression using instrumental
> variable estimation (according to Su and Yang (2007), Instrumental
> variable quantile estimation of spatial autoregressive models, SMU
> economics & statistis working paper series, 2007, 05-2007, p.35 ).
> 
> I am applying the hedonic pricing method on land transactions in
> Luxembourg.  My original data set contains 4335 observations.
> I'm quite new to R and would like to ask if someone has implemented the
> method proposed by Su and Yang in R or if anyone could give me a hint on
> the different codes and steps?
> Please find attached a small sample of my data and matrix.
> R codes:
> 
> library(foreign)
> library(lmtest)
> library(spdep)
> library(quantreg)
> 
> data<-read.table("DataSample.txt",header=TRUE, sep="")
> attach(data)
> 
> matrix<-read.gwt2nb("matrixsample.gwt" ,region.id=no_Trans)
> matrix.listw<-nb2listw(matrix)
> 
> OLS model
> OLS<-lm(lnprice~surface+d2007+LUX+tsect_ci, data=data)
> summary(OLS)
> 
> SAR model
> SAR<-lagsarlm(lnprice~surface+d2007+LUX+tsect_ci, data=data, listw =
> matrix.listw)
> summary(SAR)
> 
> I hope that this information is sufficient and will help you to help me :)
> 
> Many thanks in advance,
> 
> Marie-Line Glaesener
> 
> PhD student
> Unité de Recherche IPSE (Identités. Politiques, Sociétés, Espaces)
> Laboratoire de Géographie et Aménagement du Territoire
> 
> UNIVERSITÉ DU LUXEMBOURG
> CAMPUS WALFERDANGE
> Route de Diekirch / BP 2
> L-7201 Walferdange
> Luxembourg
> www.geo.ipse.uni.lu<http://www.geo.ipse.uni.lu/>
> 
> 
> ______________________________________________
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> and provide commented, minimal, self-contained, reproducible code.
> 


-----
Roger Bivand
Economic Geography Section
Department of Economics
Norwegian School of Economics and Business Administration
Helleveien 30
N-5045 Bergen, Norway

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