Re: [Gretl-users] Instrumental Quantile regression with Gretl
On Wed, 16 May 2012, Anutechia Asongu wrote:
Could any guru here-in give me a code for an Instrumental Variable
Regression?
You really need an IV quantile regression? I think you're on your
own. Blaise Melly has some Stata and R code at
http://www.econ.brown.edu/fac/Blaise_Melly/code_ivqte.html
But so far as I can see few people are attempting this and it's not
"officially" supported by any econometric software. From what I've
read, the theory remains to be worked out properly.
Allin Cottrell