Censored Quantile Instrumental Variable Estimation with Stata

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

No 24232, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: Many applications involve a censored dependent variable and an endogenous independent variable. Chernozhukov, Fernandez-Val, and Kowalski (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.

JEL-codes: C26 C31 C34 (search for similar items in EconPapers)
Date: 2018-01
Note: AG EH TWP
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Citations: View citations in EconPapers (3)

Published as Victor Chernozhukov & Ivan Fernández-Val & Sukjin Han & Amanda Kowalski, 2019. "Censored quantile instrumental-variable estimation with Stata," The Stata Journal: Promoting communications on statistics and Stata, vol 19(4), pages 768-781.

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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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