R help - May 2011 - Instrumental variable quantile estimation of spatial autoregressive models

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
Unit? de Recherche IPSE (Identit?s. Politiques, Soci?t?s, Espaces)
Laboratoire de G?ographie et Am?nagement du Territoire

UNIVERSIT? 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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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
> Unit? de Recherche IPSE (Identit?s. Politiques, Soci?t?s, Espaces)
> Laboratoire de G?ographie et Am?nagement du Territoire
> 
> UNIVERSIT? DU LUXEMBOURG
> CAMPUS WALFERDANGE
> Route de Diekirch / BP 2
> L-7201 Walferdange
> Luxembourg
> www.geo.ipse.uni.lu&lt;http://www.geo.ipse.uni.lu/&gt;
> 
> 
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
> http://www.R-project.org/posting-guide.html
> 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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