Exact computation of GMM estimators for instrumental variable quantile regression models

Authors
Chen, Le-Yu Lee, Sokbae
Citation
Chen, Le-yu et Lee, Sokbae, Exact computation of GMM estimators for instrumental variable quantile regression models, Journal of applied econometrics , 33(4), 2018, pp. 553-567
Journal title
Journal of applied econometrics → ACNP
ISSN journal
08837252
Volume
33
Issue
4
Year of publication
2018
Pages
553 - 567
Database
ACNP
SICI code
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.