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Exact computation of GMM estimators for instrumental variable quantile regression models
Author(s) -
Chen LeYu,
Lee Sokbae
Publication year - 2018
Publication title -
journal of applied econometrics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.878
H-Index - 99
eISSN - 1099-1255
pISSN - 0883-7252
DOI - 10.1002/jae.2619
Subject(s) - instrumental variable , estimator , quantile regression , quantile , computation , generalized method of moments , monte carlo method , mathematics , quadratic equation , variable (mathematics) , econometrics , statistics , computer science , mathematical optimization , algorithm , geometry , mathematical analysis
Summary 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.