First-stage analysis for instrumental-variables quantile regression

Javier Alejo, Antonio Galvao and Gabriel Montes-Rojas ()

Stata Journal, 2024, vol. 24, issue 2, 273-286

Abstract: In this article, we develop a first-stage linear regression command, fsivqreg, for an instrumental-variables quantile regression (QR) model. The quan- tile first stage is analogous to the least-squares case, that is, a linear projection of the endogenous variables on the instruments and other exogenous covariates, with the difference that the QR case is a weighted projection. The weights are given by the conditional density function of the innovation term in the QR structural model, at a given quantile. An empirical application illustrates its implementation.

Keywords: fsivqreg; quantile regression; instrumental variables; first stage (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1177/1536867X241257803

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