SIVQR: Stata module to perform smoothed IV quantile regression

David Kaplan

Statistical Software Components from Boston College Department of Economics

Abstract: sivqr estimates quantile regression models in which one or more of the regressors are endogenously determined. It is like qreg, but allowing for instrumental variables to address endogeneity. Or, it is like ivregress, but estimating structural coefficients or causal effects at different levels quantiles) of unobserved heterogeneity (rank variable). As with both qreg and ivregress, the structural model is implicitly linear in the regressors, but those regressors may themselves be nonlinear functions of variables in the raw data. The estimator uses smoothing to improve both computational speed and statistical precision. The methodology was proposed and studied by Kaplan and Sun (2017).

Language: Stata
Requires: Stata version 12
Keywords: quantile regression; endogeneity (search for similar items in EconPapers)
Date: 2021-10-13, Revised 2023-03-14
Note: This module should be installed from within Stata by typing "ssc install sivqr". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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http://fmwww.bc.edu/repec/bocode/s/sivqr.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/s/sivqr.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/s/sivqr_examples.do sample do-file (text/plain)
http://fmwww.bc.edu/repec/bocode/s/sivqr_examples_init.do sample do-file (text/plain)

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