Censored quantile instrumental-variable estimation with Stata

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

Stata Journal, 2019, vol. 19, issue 4, 768-781

Abstract: Many applications involve a censored dependent variable, an endogenous independent variable, or both. Chernozhukov, Fernández-Val, and Kowalski (2015, Journal of Econometrics 186: 201–221) introduced a censored quantile instrumental-variable (CQIV) estimator for use in those applications. The estimator has been applied by Kowalski (2016, Journal of Business & Economic Statistics 34: 107–117), among others. In this article, we introduce a command, cqiv, that simplifies application of the CQIV estimator in Stata. We summarize the CQIV estimator and algorithm, describe the use of cqiv, and provide empirical examples.

Keywords: cqiv; quantile regression; censored data; endogeneity; instrumental variable; control function (search for similar items in EconPapers)
Date: 2019
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Related works:
Working Paper: Censored Quantile Instrumental Variable Estimation with Stata (2019)
Working Paper: Censored Quantile Instrumental Variable Estimation with Stata (2018)
Working Paper: Censored Quantile Instrumental Variable Estimation with Stata (2018)
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DOI: 10.1177/1536867X19893615

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