Artikel

Decentralization estimators for instrumental variable quantile regression models

The instrumental variable quantile regression (IVQR) model (Chernozhukov and Hansen (2005)) is a popular tool for estimating causal quantile effects with endogenous covariates. However, estimation is complicated by the nonsmoothness and nonconvexity of the IVQR GMM objective function. This paper shows that the IVQR estimation problem can be decomposed into a set of conventional quantile regression subproblems which are convex and can be solved efficiently. This reformulation leads to new identification results and to fast, easy to implement, and tuning-free estimators that do not require the availability of high-level "black box" optimization routines.

Sprache
Englisch

Erschienen in
Journal: Quantitative Economics ; ISSN: 1759-7331 ; Volume: 12 ; Year: 2021 ; Issue: 2 ; Pages: 443-475 ; New Haven, CT: The Econometric Society

Klassifikation
Wirtschaft
Single Equation Models; Single Variables: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions
Single Equation Models: Single Variables: Instrumental Variables (IV) Estimation
Thema
bootstrap
contraction mapping
fixed-point estimator
Instrumental variables
quantile regression

Ereignis
Geistige Schöpfung
(wer)
Kaido, Hiroaki
Wüthrich, Kaspar
Ereignis
Veröffentlichung
(wer)
The Econometric Society
(wo)
New Haven, CT
(wann)
2021

DOI
doi:10.3982/QE1440
Handle
Letzte Aktualisierung
20.09.2024, 08:24 MESZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Artikel

Beteiligte

  • Kaido, Hiroaki
  • Wüthrich, Kaspar
  • The Econometric Society

Entstanden

  • 2021

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