Censored quantile instrumental-variable estimation with Stata

被引：8
|
作者：
Chernozhukov, Victor [1 ,2 ]
Fernandez-Val, Ivan [3 ]
Han, Sukjin [4 ]
Kowalski, Amanda [5 ]
机构：
[1] MIT, Dept Econ, 77 Massachusetts Ave, Cambridge, MA 02139 USA
[2] MIT, Ctr Stat & Data Sci, 77 Massachusetts Ave, Cambridge, MA 02139 USA
[3] Boston Univ, Econ, Boston, MA 02215 USA
[4] Univ Texas Austin, Econ, Austin, TX 78712 USA
[5] Univ Michigan, Appl Econ & Publ Policy, Ann Arbor, MI 48109 USA
来源：
STATA JOURNAL | 2019年 / 19卷 / 04期
关键词：
st0576; cqiv; quantile regression; censored data; endogeneity; instrumental variable; control function; REGRESSION;
D O I：
10.1177/1536867X19893615
中图分类号：
O1 [数学]; C [社会科学总论];
学科分类号：
03 ; 0303 ; 0701 ; 070101 ;
摘要：
Many applications involve a censored dependent variable, an endogenous independent variable, or both. Chernozhukov, Fernandez-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.
引用
收藏
页码：768 / 781
页数：14
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