Table of Contents
ISRN Economics
Volume 2013, Article ID 158240, 16 pages
Research Article

Choosing the Right Spatial Weighting Matrix in a Quantile Regression Model

Lancashire Business School, University of Central Lancashire, Greenbank Building, Preston, Lancashire PR1 2HE, UK

Received 4 December 2012; Accepted 27 December 2012

Academic Editors: D. M. Hanink and W. R. Reed

Copyright © 2013 Philip Kostov. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


This paper proposes computationally tractable methods for selecting the appropriate spatial weighting matrix in the context of a spatial quantile regression model. This selection is a notoriously difficult problem even in linear spatial models and is even more difficult in a quantile regression setup. The proposal is illustrated by an empirical example and manages to produce tractable models. One important feature of the proposed methodology is that by allowing different degrees and forms of spatial dependence across quantiles it further relaxes the usual quantile restriction attributable to the linear quantile regression. In this way we can obtain a more robust, with regard to potential functional misspecification, model, but nevertheless preserve the parametric rate of convergence and the established inferential apparatus associated with the linear quantile regression approach.