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IVQREG2: Stata module to provide structural quantile function estimation

J.A.F. Machado () and João Santos Silva
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J.A.F. Machado: Universidade Nova de Lisboa

Statistical Software Components from Boston College Department of Economics

Abstract: ivqreg2 estimates the structural quantile functions defined by Chernozhukov and Hansen (J. Econometrics, 2008) using the method of Machado and Santos Silva (J. Econometrics, 2018). If no instruments are specified, ivqreg2 estimates the regression quantiles imposing the restriction that quantiles do not cross (see also He, Am. Statistician, 1997).

Language: Stata
Requires: Stata version 14
Keywords: quantile regression; structural quantiles; Machado; Santos Silva (search for similar items in EconPapers)
Date: 2018-12-09, Revised 2023-03-06
Note: This module should be installed from within Stata by typing "ssc install ivqreg2". The module is made available under terms of the GPL v3 ( Windows users should not attempt to download these files with a web browser.
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Handle: RePEc:boc:bocode:s458571