centre for microdata methods and practice

ESRC centre

cemmap is an ESRC research centre


Keep in touch

Subscribe to cemmap news

Exact computation of GMM estimators for instrumental variable quantile regression models

Authors: Le-Yu Chen and Sokbae (Simon) Lee
Date: 22 November 2017
Type: cemmap Working Paper, CWP52/17
DOI: 10.1920/wp.cem.2017.5217


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.

Download full version

Search cemmap

Search by title, topic or name.

Contact cemmap

Centre for Microdata Methods and Practice

How to find us

Tel: +44 (0)20 7291 4800

E-mail us