A1092
Title: Fully modified estimation of a quantile cointegration model with a spatial lag
Authors: Christian Haefke - New York University (United Arab Emirates) [presenting]
Leopold Soegner - Institute for Advanced Studies (Austria)
Abstract: The purpose is to investigate a quantile cointegration regression problem including a spatial lag. The asymptotic distribution of the quasi-maximum likelihood estimator is obtained, and it is shown that the second-order bias depends on the order of the deterministic terms. Prior studies are followed to construct a fully modified estimator, which removes this second-order bias and a Wald-type test. The finite sample properties of the fully modified estimator are analyzed in a simulation study. The relevance of the estimator is assessed by comparing empirical COVAR estimates of a prior study.
