Censored Quantile Instrumental Variable Estimation with Stata

Victor Chernozhukov, Iv'n Fern'ndez-Val, Sukjin Han and Amanda Kowalski
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Iv'n Fern'ndez-Val: Boston University
Sukjin Han: UT Austin
Authors registered in the RePEc Author Service: Ivan Fernandez-Val ()

No 2120, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

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 simplifies 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.

Keywords: st0001; cqiv; quantile regression; censored data; endogeneity; instrumental variable; control function (search for similar items in EconPapers)
Pages: 10 pages
Date: 2018-02
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Citations: View citations in EconPapers (1)

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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 (2019)
Working Paper: Censored Quantile Instrumental Variable Estimation with Stata (2018)
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