Censored Quantile Instrumental Variable Estimation with Stata

Victor Chernozhukov, Iván Fernández-Val, Sukjin Han, Amanda Kowalski

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

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Year of publication:	January 2018
Authors:	Chernozhukov, Victor
Other Persons:	Kowalski, Amanda (contributor) ; Fernández-Val, Iván (contributor) ; Han, Sukjin (contributor)
Institutions:	National Bureau of Economic Research (contributor)
Publisher:	Cambridge, Mass : National Bureau of Economic Research
Subject:	Schätztheorie \| Estimation theory \| Software \| Generalisiertes lineares Modell \| Generalized linear model

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Extent:	1 Online-Ressource
Series:	NBER working paper series ; no. w24232
Type of publication:	Book / Working Paper
Language:	English
Notes:	Mode of access: World Wide Web System requirements: Adobe [Acrobat] Reader required for PDF files Hardcopy version available to institutional subscribers.
Other identifiers:	10.3386/w24232 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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