关键词: 分位回归, 面板向量自回归模型, 固定效应, 工具变量

Abstract: This paper firstly studies the quantile regression for panel data vector autoregressive models based on the quantile regression parameter estimation method in the literature by introducing the instrumental variables. Monte Carlo simulation results show that, in comparison with the quantile regression fixed effects method, when the time periods is short, the instrumental variables method sharply reduces the bias and RMSE, and then enhance the accuracy of the estimate. Furthermore, we analysis the relation among the China urban population survival data, development data and enjoyable consumption data based on the panel vector quantile regression method proposed in this paper.

Key words: Quantile Regression, Panel Vector Autoregressive Models, Fixed Effects, Instrumental Variables