Decentralization estimators for instrumental variable quantile regression models

Hiroaki Kaido and Kaspar Wüthrich

No CWP42/19, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

Abstract: The instrumental variable quantile regression (IVQR) model (Chernozhukov and Hansen, 2005) is a popular tool for estimating causal quantile effects with endogenous covariates. However, estimation is complicated by the non-smoothness and non-convexity of the IVQR GMM objective function. This paper shows that the IVQR estimation problem can be decomposed into a set of conventional quantile regression sub-problems which are convex and can be solved efficiently. This reformulation leads to new identification results and to fast, easy to implement, and tuning-free estimators that do not require the availability of high-level "black box" optimization routines.

Date: 2019-08-16
References: View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://www.ifs.org.uk/uploads/Decentralization-es ... models%20%281%29.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (https://www.ifs.org.uk/uploads/Decentralization-estimators-for-instrumental-variable-quantile-regression-models%20%281%29.pdf [302 Found]--> https://ifs.org.uk/uploads/Decentralization-estimators-for-instrumental-variable-quantile-regression-models%20%281%29.pdf)

Related works:
Journal Article: Decentralization estimators for instrumental variable quantile regression models (2021)
Working Paper: Decentralization estimators for instrumental variable quantile regression models (2021)
Working Paper: Decentralization Estimators for Instrumental Variable Quantile Regression Models (2020)
Working Paper: Decentralization estimators for instrumental variable quantile regression models (2018)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ifs:cemmap:42/19

Ordering information: This working paper can be ordered from
The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE

Access Statistics for this paper

More papers in CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE. Contact information at EDIRC.
Bibliographic data for series maintained by Emma Hyman ().