Censored Quantile Instrumental Variable Estimation with Stata
Abstract
Many applications involve a censored dependent variable and an endogenous independent variable. Chernozhukov et al. (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.
Cite
@article{arxiv.1801.05305,
title = {Censored Quantile Instrumental Variable Estimation with Stata},
author = {Victor Chernozhukov and Iván Fernández-Val and Sukjin Han and Amanda Kowalski},
journal= {arXiv preprint arXiv:1801.05305},
year = {2019}
}
Comments
12 pages, 1 table, associated software can be found at https://ideas.repec.org/c/boc/bocode/s457478.html. arXiv admin note: text overlap with arXiv:1104.4580. We have updated the command to report standard errors and bootstrap percentile-t confidence intervals