Exact computation of GMM estimators for instrumental variable quantile regression models |
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| Authors: | Le‐Yu Chen Sokbae Lee |
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| Institution: | 1. Institute of Economics, Academia Sinica, Taipei, Taiwan;2. Department of Economics, Columbia University, New York, NY, USA;3. Centre for Microdata Methods and Practice, Institute for Fiscal Studies, London, UK |
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| 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. |
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