Exact computation of GMM estimators for instrumental variable quantile regression models

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...

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Bibliographic Details
Published in:Journal of applied econometrics (Chichester, England) England), 2018-06, Vol.33 (4), p.553-567
Main Authors: Chen, Le-Yu, Lee, Sokbae
Format: Article
Language:English
Subjects:
Computation
Computer simulation
Econometrics
Economic models
Estimating techniques
Estimators
Fish
Generalized method of moments
Method of moments
Monte Carlo simulation
Quadratic programming
Regression models
RESEARCH ARTICLE
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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.
ISSN:0883-7252
1099-1255
DOI:10.1002/jae.2619