Journal
JOURNAL OF APPLIED ECONOMETRICS
Volume 33, Issue 4, Pages 553-567Publisher
WILEY
DOI: 10.1002/jae.2619
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Funding
- European Research Council [ERC-2014-CoG-646917-ROMIA]
- British Academy [PM140162]
- Ministry of Science and Technology, Taiwan [MOST105-2410-H-001-003-]
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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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