Instrumental-variables quantile regression

Di Liu
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Di Liu: StataCorp

French Stata Users' Group Meetings 2024 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. I introduce the Stata command ivqregress, which models the quantiles of the outcome and simultaneously controls for problems that arise from endogeneity. I show how to use the suite of instrumental-variables quantile regression commands to estimate, visualize, and infer features of the outcome distribution.

Date: 2024-06-29
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Persistent link: https://EconPapers.repec.org/RePEc:boc:fsug24:07

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