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Persistent link: https://www.econbiz.de/10012023031
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...
Persistent link: https://www.econbiz.de/10012598428