Decentralization estimators for instrumental variable quantile regression models
نویسندگان
چکیده
The instrumental variable quantile regression (IVQR) model (Chernozhukov and Hansen (2005)) is a popular tool for estimating causal effects with endogenous covariates. However, estimation complicated by the nonsmoothness nonconvexity of IVQR GMM objective function. This paper shows that problem can be decomposed into set conventional subproblems which are convex solved efficiently. reformulation leads to new identification results fast, easy implement, tuning‐free estimators do not require availability high‐level “black box” optimization routines.
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ژورنال
عنوان ژورنال: Quantitative Economics
سال: 2021
ISSN: ['1759-7331', '1759-7323']
DOI: https://doi.org/10.3982/qe1440