Decentralization estimators for instrumental variable quantile regression models

DOI10.3982/QE1440MaRDI QIDQ5164486zbMATH OpenFDO

Authors Hiroaki Kaido, Kaspar Wüthrich

Publication date 11 November 2021

Published in Quantitative Economics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://arxiv.org/abs/1812.10925

zbMATH Keywords

bootstrapquantile regressioninstrumental variablescontraction mappingfixed-point estimator

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08)

Abstract: 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 non-smoothness and non-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 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.

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(9)

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• Confidence intervals for intentionally biased estimators
• Factor instrumental variable quantile regression
• Smoothed quantile regression with large-scale inference
• Identification of multi-valued treatment effects with unobserved heterogeneity
• Sieve instrumental variable quantile regression estimation of functional coefficient models
• Distributed quantile regression in decentralized optimization
• Adaptive estimation for some nonparametric instrumental variable models with full independence
• A branch-and-bound algorithm for instrumental variable quantile regression

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