Downloads
![Image representing the file: CWP521717.pdf](/sites/default/files/output_url_files/CWP521717.pdf_0.jpg)
CWP521717.pdf
PDF | 450.48 KB
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.
Authors
![Sokbae "Simon" Lee](/sites/default/files/styles/square_desktop/public/2022-07/Simon%20Lee.jpg?itok=J8PnQSbc)
Research Fellow Columbia University
Sokbae is an IFS Research Fellow and a Professor at Columbia University, with an interest in Econometrics, Applied Microeconomics and Statistics.
![Person graphic](/sites/default/files/styles/square_desktop/public/2022-06/IFS-person-graphic.png?itok=hWCtTSrz)
Academia Sinica
Working Paper details
- DOI
- 10.1920/wp.cem.2017.5217
- Publisher
- The IFS
Suggested citation
Chen, L and Lee, S. (2017). Exact computation of GMM estimators for instrumental variable quantile regression models. London: The IFS. Available at: https://ifs.org.uk/publications/exact-computation-gmm-estimators-instrumental-variable-quantile-regression-models (accessed: 30 June 2024).
More from IFS
Understand this issue
![School girls in Rajasthan](/sites/default/files/styles/square_desktop/public/2022-11/Schoolgirls-in-Rajasthan_0.jpg?itok=aboMI9Wt)
Gender norms, violence and adolescent girls’ trajectories: Evidence from India
24 October 2022
![Isabel Stockton](/sites/default/files/styles/square_desktop/public/2024-06/Isabel-public-finances.jpg?itok=JfdJNN7F)
What are the challenges in getting debt on a falling path?
28 June 2024
![Microphone](/sites/default/files/styles/square_desktop/public/2024-06/Microphone.jpg?itok=soM7Wvbz)
Election Special: Your questions answered
27 June 2024
Policy analysis
![Carl Emmerson](/sites/default/files/styles/square_desktop/public/2022-06/Carl_Emmerson.jpg?itok=6jM06LTY)
IFS Deputy Director Carl Emmerson appointed to the UK Statistics Authority Methodological Assurance Review Panel
14 April 2023
![Publication graphic](/sites/default/files/styles/portrait/public/2022-06/IFS-publication-graphic.png?itok=QoQz8AN4)
ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models
We develop novel methods for estimation and filtering of continuous-time models with stochastic volatility and jumps using so-called Approximate Bayesian Compu- tation which build likelihoods based on limited information.
12 August 2014
![Hospital](/sites/default/files/styles/square_desktop/public/2022-08/Hospital2.jpg?itok=Jt37JXbP)
Is there really an NHS productivity crisis?
17 November 2023
Academic research
![Working Paper Cover](/sites/default/files/styles/portrait/public/2024-05/CWP1124-Inference-for-rank-rank-regressions_Page_01.jpg?itok=iJl8Ja1B)
Inference for rank-rank regressions
28 May 2024
![Journal Article Cover](/sites/default/files/styles/portrait/public/2024-02/Fiscal%20Studies%20-%202024%20-%20%20-%20Issue%20Information_Page_1.jpg?itok=GfdQz4AB)
Understanding Society: minimising selection biases in data collection using mobile apps
2 February 2024
![Working paper cover](/sites/default/files/styles/portrait/public/2024-06/WP202428-The-impact-of%20labour-demand-shocks-when-occupational-labour-supplies-are-heterogeneous.jpg?itok=Erq9-V9O)
The impact of labour demand shocks when occupational labour supplies are heterogeneous
28 June 2024