Censored Quantile Instrumental Variable Estimation with Stata

Victor Chernozhukov, Iv\'an Fern\'andez-Val, Sukjin Han and Amanda Kowalski

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Abstract: Many applications involve a censored dependent variable and an endogenous independent variable. Chernozhukov et al. (2015) introduced a censored quantile instrumental variable estimator (CQIV) for use in those applications, which has been applied by Kowalski (2016), among others. In this article, we introduce a Stata command, cqiv, that simplifes application of the CQIV estimator in Stata. We summarize the CQIV estimator and algorithm, we describe the use of the cqiv command, and we provide empirical examples.

Date: 2018-01, Revised 2019-09
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Citations: View citations in EconPapers (6)

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Related works:
Journal Article: 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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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1801.05305

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