Exact computation of GMM estimators for instrumental variable quantile regression models

Le-Yu Chen and Sokbae (Simon) Lee

No 52/17, CeMMAP working papers from Institute for Fiscal Studies

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: 2017-11-22
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Related works:
Journal Article: Exact computation of GMM estimators for instrumental variable quantile regression models (2018)
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:azt:cemmap:52/17

DOI: 10.1920/wp.cem.2017.5217

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