Censored quantile instrumental variable estimation with Stata
Kowalski, Amanda E.
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Citation (published version)Victor Chernozhukov, Iván Fernández‐Val, Sukjin Han, Amanda E Kowalski. January 2018. "Censored Quantile Instrumental Variable Estimation with Stata." NBER Working Paper No. 24232. https://doi.org/10.3386/w24232
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.
Rights© 2018 by Victor Chernozhukov, Iván Fernández-Val, Sukjin Han, and Amanda Kowalski. All rights reserved. Short sections of text, not to exceed two paragraphs, may be quoted without explicit permission provided that full credit, including © notice, is given to the source.