Dynamic Network Quantile Regression Model

83 Pages Posted: 29 Sep 2020 Last revised: 15 Nov 2021

See all articles by Xiu Xu

Xiu Xu

Soochow University

Weining Wang

University of York; affiliation not provided to SSRN

Yongcheol Shin

University of York (UK) - Department of Economics and Related Studies

Chaowen Zheng

University of York - Department of Economics and Related Studies

Date Written: November 10, 2021

Abstract

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. (2019b) 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
and derive the consistency and asymptotic normality of the IVQR estimator
using the near epoch dependence property of the network process. Via Monte Carlo
simulations, we confirm the satisfactory performance of the IVQR estimator across
different quantiles under the different network structures. Finally, we demonstrate
the usefulness of our proposed approach with an application to the dataset on the
stocks traded in NYSE and NASDAQ in 2016.

Keywords: Dynamic Network Quantile Regression Model, Simultaneous Network Endogeneity, IVQR Estimator, Quantile Connectedness

JEL Classification: C32, C51, G17

Suggested Citation

Xu, Xiu and Wang, Weining and Wang, Weining and Shin, Yongcheol and Zheng, Chaowen, Dynamic Network Quantile Regression Model (November 10, 2021). Available at SSRN: https://ssrn.com/abstract=3690631 or http://dx.doi.org/10.2139/ssrn.3690631

Xiu Xu

Soochow University ( email )

No. 1 Shizi Street
Suzhou, Jiangsu 215006
China

Weining Wang (Contact Author)

University of York ( email )

Department of Economics and Related Studies Univer
York, YO10 5DD
United Kingdom

affiliation not provided to SSRN

Yongcheol Shin

University of York (UK) - Department of Economics and Related Studies ( email )

Heslington
York, YO1 5DD
United Kingdom

Chaowen Zheng

University of York - Department of Economics and Related Studies ( email )

Heslington
York, YO1 5DD
United Kingdom

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