Exact computation of GMM estimators for instrumental variable quantile regression models

Le-Yu Chen and Sokbae (Simon) Lee

Journal of Applied Econometrics, 2018, vol. 33, issue 4, 553-567

Abstract: We show that the generalized method of moments (GMM) estimation problem in instrumental variable quantile regression (IVQR) models can be equivalently formulated as a mixed‐integer quadratic programming problem. This enables exact computation of the GMM estimators for the IVQR models. We illustrate the usefulness of our algorithm via Monte Carlo experiments and an application to demand for fish.

Date: 2018
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Citations: View citations in EconPapers (16)

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https://doi.org/10.1002/jae.2619

Related works:
Working Paper: Exact computation of GMM estimators for instrumental variable quantile regression models (2017)
Working Paper: Exact computation of GMM estimators for instrumental variable quantile regression models (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:wly:japmet:v:33:y:2018:i:4:p:553-567

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