Censored quantile instrumental-variable estimation with Stata

Victor Chernozhukov; Ivan Fernandez-Val; Vincent Han; Amanda Kowalski

doi:10.1177/1536867X19893615

Censored quantile instrumental-variable estimation with Stata

Victor Chernozhukov, Ivan Fernandez-Val, Vincent Han, Amanda Kowalski

School of Economics

Research output: Contribution to journal › Article (Academic Journal) › peer-review

8 Citations (Scopus)

Abstract

Many applications involve a censored dependent variable, an endogenous independent variable, or both. Chernozhukov, Fernández-Val, and Kowalski (2015, Journal of Econometrics 186: 201–221) introduced a censored quantile instrumental-variable (CQIV) estimator for use in those applications. The estimator has been applied by Kowalski (2016, Journal of Business & Economic Statistics 34: 107–117), among others. In this article, we introduce a command, cqiv, that simplifies application of the CQIV estimator in Stata. We summarize the CQIV estimator and algorithm, describe the use of cqiv, and provide empirical examples.

Original language	English
Pages (from-to)	768-781
Number of pages	14
Journal	Stata Journal
Volume	19
Issue number	4
DOIs	https://doi.org/10.1177/1536867X19893615
Publication status	Published - 1 Dec 2019

Research Groups and Themes

ECON Econometrics

Keywords

st0576
cqiv
quantile regression
censored data
endogeneity
instrumental variable
control function

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title = "Censored quantile instrumental-variable estimation with Stata",

abstract = "Many applications involve a censored dependent variable, an endogenous independent variable, or both. Chernozhukov, Fern{\'a}ndez-Val, and Kowalski (2015, Journal of Econometrics 186: 201–221) introduced a censored quantile instrumental-variable (CQIV) estimator for use in those applications. The estimator has been applied by Kowalski (2016, Journal of Business & Economic Statistics 34: 107–117), among others. In this article, we introduce a command, cqiv, that simplifies application of the CQIV estimator in Stata. We summarize the CQIV estimator and algorithm, describe the use of cqiv, and provide empirical examples.",

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author = "Victor Chernozhukov and Ivan Fernandez-Val and Vincent Han and Amanda Kowalski",

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TY - JOUR

T1 - Censored quantile instrumental-variable estimation with Stata

AU - Chernozhukov, Victor

AU - Fernandez-Val, Ivan

AU - Han, Vincent

AU - Kowalski, Amanda

PY - 2019/12/1

Y1 - 2019/12/1

N2 - Many applications involve a censored dependent variable, an endogenous independent variable, or both. Chernozhukov, Fernández-Val, and Kowalski (2015, Journal of Econometrics 186: 201–221) introduced a censored quantile instrumental-variable (CQIV) estimator for use in those applications. The estimator has been applied by Kowalski (2016, Journal of Business & Economic Statistics 34: 107–117), among others. In this article, we introduce a command, cqiv, that simplifies application of the CQIV estimator in Stata. We summarize the CQIV estimator and algorithm, describe the use of cqiv, and provide empirical examples.

AB - Many applications involve a censored dependent variable, an endogenous independent variable, or both. Chernozhukov, Fernández-Val, and Kowalski (2015, Journal of Econometrics 186: 201–221) introduced a censored quantile instrumental-variable (CQIV) estimator for use in those applications. The estimator has been applied by Kowalski (2016, Journal of Business & Economic Statistics 34: 107–117), among others. In this article, we introduce a command, cqiv, that simplifies application of the CQIV estimator in Stata. We summarize the CQIV estimator and algorithm, describe the use of cqiv, and provide empirical examples.

KW - st0576

KW - cqiv

KW - quantile regression

KW - censored data

KW - endogeneity

KW - instrumental variable

KW - control function

U2 - 10.1177/1536867X19893615

DO - 10.1177/1536867X19893615

M3 - Article (Academic Journal)

SN - 1536-867X

VL - 19

SP - 768

EP - 781

JO - Stata Journal

JF - Stata Journal

IS - 4

ER -

Censored quantile instrumental-variable estimation with Stata

Abstract

Research Groups and Themes

Keywords

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