Maybe this link helps: https://www.researchgate.net/post/Anyone_know_of_a_package_in_R_or_Stata_that_will_estimate_quantile_regression_with_endogenous_regressors_for_data_that_is_purely_cross-sectional
Have followed that thread, but not entirely satisfied with the package I got. But thanks - I will try to work on it
I used the R ri package in a previous article to estimate the effect of a prevention.
I [just] posted on that other thread:
In R, I have code for a particular estimator within the IV approach:
https://faculty.missouri.edu/~kaplandm/code/ivqr_see.R
which calls functions in
https://faculty.missouri.edu/~kaplandm/code/gmmq.R
You can get other files (including the Journal of Econometrics paper, which discusses some advantages) under "Smoothed estimating equations for instrumental variables quantile regression" at
https://faculty.missouri.edu/~kaplandm
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