Instrumental variables quantile regression

Di Liu
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Di Liu: StataCorp LLC

Chinese Stata Conference 2023 from Stata Users Group

Abstract: When we want to study the effects of covariates on the different quantiles of the outcome, we use quantile regression. However, the traditional quantile regression is inconsistent when a covariate is endogenous. We introduce the Stata command ivqregress, which models the quantiles of the outcome and, at the same time, controls for problems that arise from endogeneity. We show how to use the suite of IV quantile regresison to estimate, visualize, and infer features of the outcome distribution.

Date: 2024-10-02
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http://repec.org/chin2023/China23_Liu_IVQ.pdf

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Persistent link: https://EconPapers.repec.org/RePEc:boc:chin23:07

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