Decentralization estimators for instrumental variable quantile regression models

Hiroaki Kaido and Kaspar Wüthrich

No CWP72/18, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

Abstract: The instrumental variable quantile regression (IVQR) model of Chernozhukov and Hansen (2005, 2006) is a exible and powerful tool for evaluating the impact of endogenous covariates on the whole distribution of the outcome of interest. Estimation, however, is computationally burdensome because the GMM objective function is non-smooth and non-convex. 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 allows for reformulating the original estimation problem as the problem of finding the fixed point of a low dimensional map. This reformulation leads to new identi fication results and, most importantly, to practical, easy to implement, and computationally tractable estimators. We explore estimation algorithms based on the contraction mapping theorem and algorithms based on root-fi nding methods. We prove consistency and asymptotic normality of our estimators and establish the validity of a bootstrap procedure for estimating the limiting laws. Monte Carlo simulations support the estimator's enhanced computational tractability and demonstrate desirable finite sample properties.

Keywords: instrumental variables; quantile regression; contraction mapping; fixed point estimator; bootstrap. (search for similar items in EconPapers)
Date: 2018-12-31
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://www.ifs.org.uk/uploads/cemmap/wps/CWP721818.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/cemmap/wps/CWP721818.pdf [302 Found]--> https://ifs.org.uk/uploads/cemmap/wps/CWP721818.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 (2019)
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:72/18

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 ().