Before revision: The instrumental variable quantile regression (IVQR) model of Chernozhukov and Hansen (2005, 2006 ) is a flexible and powerful tool for evaluating the impact of endogenous covariateson the whole distribution of the outcome of interest. Estimation, however, is computationally burdensome because the GMM objective function is non-smooth and non-convex .
After revision: The instrumental variable quantile regression (IVQR) model of Chernozhukov and Hansen (2005, 2006 ) 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 is non-smooth and non-convex .