restrictions, and plays a fundamental role in econometrics and others branches of data analysis. We establish conditions under …, seemingly unrelated regression equations, and single structural equation models. In our analysis, both the parameter dimension …

restrictions, and plays a fundamental role in econometrics and others branches of data analysis. We establish conditions under …, seemingly unrelated regression equations, and single structural equation models. In our analysis, both the parameter dimension …

behavioural functions, monotonicity and dominance relations, one-sided constraints on conditional moments in GMM estimation … that the predominant tests currently used in econometrics do not appear to enjoy all these properties simultaneously. We …

The instrumental variable quantile regression (IVQR) model (Chernozhukov and Hansen, 2005) is a popular tool for …-convexity of the IVQR GMM objective function. This paper shows that the IVQR estimation problem can be decomposed into a set of … conventional quantile regression sub-problems which are convex and can be solved efficiently. This reformulation leads to new …

The instrumental variable quantile regression (IVQR) model of Chernozhukov and Hansen (2005, 2006) is a flexible and …. Estimation, however, is computationally burdensome because the GMM objective function is non-smooth and non-convex. This paper … shows that the IVQR estimation problem can be decomposed into a set of conventional quantile regression sub-problems, which …