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Le-Yu Chen
;
Sokbae Lee

exact computation of gmm estimators for instrumental variable quantile regression models (replication data)

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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Chen, Le-Yu; Lee, Sokbae (2018): Exact computation of GMM estimators for instrumental variable quantile regression models (replication data). Version: 1. Journal of Applied Econometrics. Dataset. http://dx.doi.org/10.15456/jae.2022326.0709366485

Related Publication

Chen, L. and Lee, S. (2018), Exact Computation Of Gmm Estimators For Instrumental Variable Quantile Regression Models, Journal of Applied Econometrics, 33(4), 553-567. https://doi.org/10.1002/jae.2619