CQIV: Stata module to perform censored quantile instrumental variables regression

Victor Chernozhukov, Ivan Fernandez-Val, Sukjin Han and Amanda Kowalski

Statistical Software Components from Boston College Department of Economics

Abstract: cqiv conducts censored quantile instrumental variable (CQIV) estimation. This command can implement both censored and uncensored quantile IV estimation either under exogeneity or endogeneity. The estimator proposed by Chernozhukov, Fernandez-Val and Kowalski (2010) is used if CQIV estimation is implemented. A parametric version of the estimator proposed by Lee (2007) is used if quantile IV estimation without censoring is implemented. The estimator proposed by Chernozhukov and Hong (2002) is used if censored quantile regression (CQR) is estimated without endogeneity. Note that all the variables in the parentheses of the syntax are those involved in the first stage estimation of CQIV and QIV.

Language: Stata
Requires: Stata version 10
Keywords: quantile regression; censored quantiles; instrumental variables; IV (search for similar items in EconPapers)
Date: 2012-06-21, Revised 2019-09-25
Note: This module should be installed from within Stata by typing "ssc install cqiv". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Citations: View citations in EconPapers (11)

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/c/cqiv.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/c/cqiv.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/a/alcoholengel.dta sample data file (application/x-stata)
http://fmwww.bc.edu/repec/bocode/c/cqiv_article.pdf documentation (application/pdf)

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