Censored quantile instrumental-variable estimation with Stata

• Autores: Victor Chernozhukov, Iván Fernández Val
• Localización: The Stata journal, ISSN 1536-867X, Vol. 19, Nº. 4, 2019, págs. 768-781
• Idioma: inglés
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• Resumen

  • Many applications involve a censored dependent variable, an endogenous independent variable, or both. Chernozhukov, Fern´andez-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.