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 | |
| 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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