Censored quantile instrumental-variable estimation with Stata

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 estima...

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Bibliographic Details
Published in:The Stata journal 2019-12, Vol.19 (4), p.768-781
Main Authors: Chernozhukov, Victor, Fernández-Val, Ivan, Han, Sukjin, Kowalski, Amanda
Format: Article
Language:English
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Summary: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.
ISSN:1536-867X
1536-8734
DOI:10.1177/1536867X19893615