What is it about?
This paper extends the smoothed instrumental variables (IV) quantile regression (QR) estimation methodology of Kaplan and Sun (2017) to non-iid data, as well as nonlinear and over-identified models. The paper includes an in-depth empirical example with quantile Euler equations.
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This page is a summary of: Smoothed GMM for quantile models, Journal of Econometrics, November 2019, Elsevier,
DOI: 10.1016/j.jeconom.2019.04.008.
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