Dynamic Network Quantile Regression Model
动态网络分位数回归模型
We propose a dynamic network quantile regression model to investigate the quantile connectedness using a predetermined network information. We extend the existing network quantile autoregression model of Zhu et al. by explicitly allowing the contemporaneous network effects and controlling for the common factors across quantiles. To cope with the endogeneity issue due to simultaneous network spillovers, we adopt the instrumental variable quantile regression (IVQR) estimation…