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Exact computation of GMM estimators for instrumental variable quantile regression models

28 March 2017
Le‐Yu Chen
S. Lee
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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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