SMOOTHED ESTIMATING EQUATIONS FOR INSTRUMENTAL VARIABLES QUANTILE REGRESSION

What is it about?

Our paper is about estimation of instrumental variables (IV) quantile regression (QR), to deal with endogeneity when estimating quantile treatment effects or structural quantile functions. Smoothing makes computation easy, and it also improves estimation efficiency. Code in R (and Matlab) is provided on my website. (Stata code in progress; email me for an update.)

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Why is it important?

We make IVQR estimation simple, easy, and fast. You can run IVQR wherever you can run IV, but IVQR can reveal differences/heterogeneity that IV does not.